IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2009.05875.html
   My bibliography  Save this paper

Regularized Solutions to Linear Rational Expectations Models

Author

Listed:
  • Majid M. Al-Sadoon

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.

Suggested Citation

  • Majid M. Al-Sadoon, 2020. "Regularized Solutions to Linear Rational Expectations Models," Papers 2009.05875, arXiv.org, revised Oct 2020.
    • Handle: RePEc:arx:papers:2009.05875
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2009.05875
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Al-Sadoon, Majid M., 2018. "The Linear Systems Approach To Linear Rational Expectations Models," Econometric Theory, Cambridge University Press, vol. 34(3), pages 628-658, June.
    2. Zhongjun Qu & Denis Tkachenko, 2017. "Global Identification in DSGE Models Allowing for Indeterminacy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1306-1345.
    3. Francesco Bianchi & Giovanni Nicolò, 2021. "A generalized approach to indeterminacy in linear rational expectations models," Quantitative Economics, Econometric Society, vol. 12(3), pages 843-868, July.
    4. Majid M. Al-Sadoon & Piotr Zwiernik, 2019. "The Identification Problem for Linear Rational Expectations Models," Working Papers 1114, Barcelona School of Economics.
    5. Farmer, Roger E.A. & Khramov, Vadim & Nicolò, Giovanni, 2015. "Solving and estimating indeterminate DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 54(C), pages 17-36.
    6. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    7. Andrzej Kocięcki & Marcin Kolasa, 2018. "Global identification of linearized DSGE models," Quantitative Economics, Econometric Society, vol. 9(3), pages 1243-1263, November.
    8. Ivana Komunjer & Serena Ng, 2011. "Dynamic Identification of Dynamic Stochastic General Equilibrium Models," Econometrica, Econometric Society, vol. 79(6), pages 1995-2032, November.
    9. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
    10. Lubik, Thomas A. & Schorfheide, Frank, 2003. "Computing sunspot equilibria in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 273-285, November.
    11. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Jun 2023.
    12. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
    13. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
    14. Funovits, Bernd, 2017. "The full set of solutions of linear rational expectations models," Economics Letters, Elsevier, vol. 161(C), pages 47-51.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Jun 2023.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Jun 2023.
    2. Peter A. Zadrozny, 2022. "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series 10078, CESifo.
    3. Zadrozny, Peter A., 2022. "Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims," CFS Working Paper Series 682, Center for Financial Studies (CFS).
    4. Marco M. Sorge, 2020. "Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 363-372, June.
    5. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    6. Kocięcki, Andrzej & Kolasa, Marcin, 2023. "A solution to the global identification problem in DSGE models," Journal of Econometrics, Elsevier, vol. 236(2).
    7. Hirose, Yasuo, 2020. "An Estimated Dsge Model With A Deflation Steady State," Macroeconomic Dynamics, Cambridge University Press, vol. 24(5), pages 1151-1185, July.
    8. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    9. Hatcher, Michael, 2022. "Solving linear rational expectations models in the presence of structural change: Some extensions," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    10. Stephen McKnight & Laura Povoledo, 2022. "Endogenous fluctuations and international business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(1), pages 312-348, February.
    11. William, Barnett & Hu, Jingxian, 2017. "Capital Control, Exchange Rate Regime, and Monetary Policy: Indeterminacy and Bifurcation," MPRA Paper 81450, University Library of Munich, Germany.
    12. Jonas E. Arias & Guido Ascari & Nicola Branzoli & Efrem Castelnuovo, 2020. "Positive Trend Inflation and Determinacy in a Medium-Sized New Keynesian Model," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 51-94, June.
    13. Qazi Haque, 2022. "Monetary Policy, Inflation Target, and the Great Moderation: An Empirical Investigation," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    14. Haque, Qazi & Groshenny, Nicolas & Weder, Mark, 2021. "Do we really know that U.S. monetary policy was destabilizing in the 1970s?," European Economic Review, Elsevier, vol. 131(C).
    15. Leland Farmer & Roger Farmer, 2022. "Zoomers and Boomers: Asset Prices and Intergenerational Inequality," NBER Working Papers 30419, National Bureau of Economic Research, Inc.
    16. Dave, Chetan & Sorge, Marco M., 2021. "Equilibrium indeterminacy and sunspot tales," European Economic Review, Elsevier, vol. 140(C).
    17. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    18. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    19. Alice Albonico & Guido Ascari & Qazi Haque, 2020. "The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations," Economics Discussion / Working Papers 20-26, The University of Western Australia, Department of Economics.
    20. Wei Dai & Mark Weder & Bo Zhang, 2020. "Animal Spirits, Financial Markets, and Aggregate Instability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(8), pages 2053-2083, December.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2009.05875. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.