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arXiv · 2009.05875

Regularized Solutions to Linear Rational Expectations Models

Majid M. Al-Sadoon
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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.

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BibTeXRIS

Majid M. Al-Sadoon. 2020-09-12. Regularized Solutions to Linear Rational Expectations Models. https://arxiv.org/abs/2009.05875

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