Regularized Solutions to Linear Rational Expectations Models

Majid Al-Sadoon

Papers from arXiv.org

Abstract: 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.

Date: 2020-09, Revised 2020-10
New Economics Papers: this item is included in nep-cmp, nep-ore and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.05875

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