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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

R2 v1 2026-06-23T18:29:42.734Z