A Classification System for Economic Stochastic Control Models

The lack of a clear classification structure and the use of a variety of names for the same solution method for stochastic control models in economics, create communications inefficiencies in the field. A proposal is made for a classification system based on a number of attributes of these models including stochastic elements, solution classes, estimation method, forward-looking variables and policies-to-parameters effects. Tables are provided which categorize some well-known example models into this structure. Our work focuses on models with quadratic criterion functions and linear systems equations and without game theory elements. Thus it is a mere start of a larger effort which is much needed since there has been a proliferation of stochastic control models in economics in recent years.