论文标题
线性理性期望模型的光谱方法
The Spectral Approach to Linear Rational Expectations Models
论文作者
论文摘要
本文考虑了频域中的线性有理期望模型。该论文表征了解决方案和通用系统的存在和独特性。给定系统的所有解决方案的集合被证明是频域中的有限维仿射空间。已经证明，在非唯一性，主流频繁主义者和贝叶斯方法无效的情况下，解决方案在模型的参数方面可能是不连续的。问题的不良性激发了正规解决方案，理论上保证了唯一性，连续性甚至可不同性能。
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.
