PMORFE Optimal Control and Filtering in Economics

Faculty of Economics and Administration
Spring 2009
Extent and Intensity
2/2. 6 credit(s). Type of Completion: zk (examination).
Teacher(s)
RNDr. Ing. Karel Musil, M.Sc., Ph.D. (lecturer)
RNDr. Ing. Karel Musil, M.Sc., Ph.D. (seminar tutor)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics – Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Timetable
Wed 12:50–14:30 P102
  • Timetable of Seminar Groups:
PMORFE/1: Wed 11:05–12:45 VT105, K. Musil
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
The main objective is to introduce students to state-of-the-art procedures used to identify and control macroeconomic systems.
Students of this course
- will become familiar, using practical implementations, with the procedures, brought to economics from cybernetics
- will understand that an economic system may be understood as a controlled system, whose control is realized through feedback.
- will be able to identify a controlled economic system represented by a state model (which results from duality of feedback control).
Syllabus
  • 1. Quadratic optimal control
  • 2. Stochastic optimal control
  • 3. Duality of feedback control represented by the Riccati equation in a control/filtration sense
  • 4. Kalman filter/smoother
  • 5. Estimation of a state space macroeconomic model with Kalman filter on real time series
  • 6. Optimal control or stabilization of economic system represented by a state space.
  • 7. Search for optimal (fiscal, monetary or mixed) policy with LQOC control of state space model of controlled real economy
  • 8. Bayesian approach to estimation utilizing the Monte-Carlo method for estimation of a linear dynamic stochastic model of general equilibrium (DSGE model) with linear rational expectations (LRE).
  • 9. Bayesian estimate of DSGE LRE macroeconomic model on time series of real economy
  • 10. Comparison of estimate properties of KF - smoother, ML estimate and the Bayesian Monte-Carlo method
Literature
  • Kubík, S., Kotek, Z., Strejc V., Štecha, J. Teorie automatického řízení I (lineární a nelineární systémy), Praha: SNTL - Nakladatelství technické literatury, 1982.
  • Kubík, S., Kotek, Z., Razím, M., Hrušák, J., Branžovský, J. Teorie atuomatického řízení II (optimální, adaptivní a učící se systémy, Praha: SNTL - Nakladatelství technické literatury, 1982.
  • Kendrick, D., A., Stochastic Control for Economic Models, University of Texas, 2002
Assessment methods
semestral project, oral exam
Language of instruction
Czech
Further Comments
Study Materials
  • Enrolment Statistics (recent)
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