Regularized Solutions to Linear Rational Expectations Models

• Tác giả: Majid M Al-Sadoon
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2020
• Bộ sưu tập: Báo, Tạp chí
• ID: 165195

Tóm tắt

Comment: JEL Classification: C62, C63, E00This paper proposes an algorithm for computing regularized solutions to linear rational expectations models. The algorithm allows for regularization cross-sectionally as well as across frequencies. A variety of numerical examples illustrate the advantage of regularization.