Regularized Solutions to Linear Rational Expectations Models
Econometrics
2020-10-28 v3
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.
Keywords
Cite
@article{arxiv.2009.05875,
title = {Regularized Solutions to Linear Rational Expectations Models},
author = {Majid M. Al-Sadoon},
journal= {arXiv preprint arXiv:2009.05875},
year = {2020}
}
Comments
JEL Classification: C62, C63, E00