osr

osr — computes optimal simple policy rules

Synopsis

osr [(OPTION [, OPTION...])] [VARIABLE_NAME...] ;

Options

All options for stoch_simul.

Description

osr computes optimal simple policy rules for linear--quadratic problems of the form:

maxγ E(y'tWyt)

s.t.

A1Et(yt+1)+A2yt+A3yt-1+Cet=0

with:

  • γ: parameters to be optimized. They must be elements of matrices A1, A2, A3.

  • y: endogenous variables

  • e: exogenous stochastic shocks

The parameters to be optimized must be listed with osr_params.

The quadratic objectives must be listed with optim_weights.

This problem is solved using a numerical optimizer.