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摘要翻译：
本文讨论了一般条件下线性有理期望的频域模型。本文给出了特殊系统和一般系统存在唯一性的充要条件，并在频域中将所有解的空间刻画为仿射空间。结果表明，对于模型的参数，解通常不是连续的，这使得主流的频率和贝叶斯方法失效。问题的不适定性激发了具有理论上保证的唯一性、连续性甚至可微性的正则化解。正则化在两个解析可处理模型的极限高斯似然函数的分析中得到了说明。
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英文标题：
《The Spectral Approach to Linear Rational Expectations Models》
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作者：
Majid M. Al-Sadoon
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最新提交年份：
2021
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/2007.13804
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