Solving dynamic macroeconomic policy games using the algorithm OPTGAME 1.0

Hager, Manfred, Neck, Reinhard and Behrens, Doris 2001. Solving dynamic macroeconomic policy games using the algorithm OPTGAME 1.0. Optimal Control Applications and Methods 22 (5-6) , pp. 301-332. 10.1002/oca.698

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Abstract

In this paper we briefly summarise the OPTGAME 1.0 algorithm, which has been developed to determine equilibrium solutions of dynamic games in discrete time. It can be applied to obtain approximate numerical solutions for two-player difference games where the objective functions are quadratic and the dynamic system is non-linear. The non-linear system equations are linearized numerically, substituting a linear time-varying system for the non-linear time-invariant system. OPTGAME 1.0 delivers open-loop and feedback Nash equilibrium solutions, open-loop and feedback Stackelberg equilibrium solutions, and Pareto-optimal solutions. The algorithm has been implemented in the statistical programming system GAUSS. We report about tentative applications of OPTGAME 1.0 to a small macroeconometric model for Austria, AUSTRIA1, to show the feasibility of the calculations and to give examples of how to interpret their results.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Publisher:	Wiley-Blackwell
ISSN:	0143-2087
Last Modified:	10 Oct 2017 17:13
URI:	https://orca.cardiff.ac.uk/id/eprint/93753

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