21 research outputs found
The Spectral Approach to Linear Rational Expectations Models
This paper considers linear rational expectations models in the frequency
domain under general conditions. The paper develops necessary and sufficient
conditions for existence and uniqueness of particular and generic systems and
characterizes the space of all solutions as an affine space in the frequency
domain. It is demonstrated that solutions are not generally continuous with
respect to the parameters of the models, invalidating mainstream frequentist
and Bayesian methods. The ill-posedness of the problem motivates regularized
solutions with theoretically guaranteed uniqueness, continuity, and even
differentiability properties. Regularization is illustrated in an analysis of
the limiting Gaussian likelihood functions of two analytically tractable
models.Comment: JEL Classification: C10, C32, C62, E3
Consistent estimation of panel data sample selection models
Consistent estimation of panel data sample selection model