Regularized Solutions to Linear Rational Expectations Models

Autor:	Al-Sadoon, Majid M.
Rok vydání:	2020
Předmět:	Economics - Econometrics 91B84 91B84
Druh dokumentu:	Working Paper
Popis:	This 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. Comment: JEL Classification: C62, C63, E00
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2009.05875 Zobrazit plný text záznamu View this record from Arxiv