Regularized Solutions to Linear Rational Expectations Models

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.

JEL Classification: C62, C63, E00

References in corpus (1)

• The Spectral Approach to Linear Rational Expectations Models

Cited by in corpus (1)

• The Spectral Approach to Linear Rational Expectations Models