AbstractA direct solution is proposed to an optimal control problem of linear econometric systems with a quadratic welfare loss function when there are linear equality constraints on the control variables. The direct solution proposed here eliminates the problem of non‐uniqueness of the optimal solution, which is present when this optimal control problem is solved using the recursive algorithm proposed by Chow,1Pindyck2and Tan.3If a unique solution to the optimal control problem exists, then the direct solution and the recursive solution coincid
展开▼