arXiv 27 Jul 2020 · Econometrics
arXiv:2007.13804 · PDF · Extracted main text
This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to be a finite dimensional affine space in the frequency domain. It is demonstrated that solutions can be discontinuous with respect to the parameters of the models in the context of non-uniqueness, invalidating mainstream frequentist and Bayesian methods. The ill-posedness of the problem motivates regularized solutions with theoretically guaranteed uniqueness, continuity, and even differentiability properties.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Al-Sadoon, M. M (2018) The linear systems approach to linear rational expectations models self | 1.000 | 11 | 5 | 100% |
| 2 | Gohberg, I. C. & Fel'dman, I. A (1974) Convolution Equations and Projection Methods for Their Solution, volume 41 of Translations of Mathematical Monographs | 1.000 | 9 | 3 | 100% |
| 3 | Canova, F (2011) Methods for Applied Macroeconomic Research | 1.000 | 7 | 4 | 100% |
| 4 | DeJong, D. & Dave, C (2011) Structural Macroeconometrics: (Second Edition) | 1.000 | 7 | 4 | 100% |
| 5 | Herbst, E. P. & Schorfheide, F (2016) Bayesian Estimation of DSGE Models | 1.000 | 7 | 4 | 100% |
| 6 | Al-Sadoon, M. M. & Zwiernik, P (2019) The identification problem for linear rational expectations models self | 1.000 | 5 | 5 | 100% |
| 7 | Al-Sadoon, M. M (2020) Regularized solutions to linear rational expectations models self | 1.000 | 5 | 3 | 100% |
| 8 | Onatski, A (2006) Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models | 0.953 | 15 | 6 | 87% |
| 9 | Hannan, E. J. & Deistler, M (1988) The Statistical Theory of Linear Systems | 0.941 | 6 | 3 | 83% |
| 10 | Taylor, J. B (1977) Conditions for unique solutions in stochastic macroeconomic models with rational expectations | 0.928 | 4 | 3 | 100% |
Showing the top 10 of 89 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Regularized Solutions to Linear Rational Expectations Models | 1.000 | 7 | 3 |