Gap Map

Auto-generated open questions. Do not edit.

[paper/2026-us-real-estate-market-outlook] How do these 2026 cap rate forecasts compare to the equilibrium values implied by the Duca-Ling (2015) error-correction framework?
[paper/2026-us-real-estate-market-outlook] Does the forecasted 5-15 bp cap rate compression align with what the Leather-Sagi MS-RE model would predict given the current macro state?
[paper/ang-bekaert-wei-2008-real-rates-expected-inflation] How does the decomposition change when post-TIPS data and TIPS yields are
[paper/ang-bekaert-wei-2008-real-rates-expected-inflation] Can the latent regime be tied to identifiable monetary policy regimes (Fed
[paper/ang-bekaert-wei-2008-real-rates-expected-inflation] How does the time-varying inflation risk premium relate to macro variables
[paper/arbitrage-free-three-factor-term-structure] How do regime-switching extensions (as in regime-switching-affine-term-structure) change the term premium estimates?
[paper/arbitrage-free-three-factor-term-structure] Can the model be extended with time-varying volatility (stochastic volatility affine models) while retaining tractability?
[paper/arbitrage-free-three-factor-term-structure] How sensitive are the term premium estimates to the choice of survey data and the assumption of Gaussian measurement errors?
[paper/bansal-zhou-2002-term-structure-regime-shifts] Can the regime mechanism be linked structurally to macro variables (output gap, inflation, monetary policy stance) instead of being treated as a latent chain?
[paper/bansal-zhou-2002-term-structure-regime-shifts] How does the regime-switching CIR mechanism interact with multi-factor affine term structure models (e.g., Dai-Singleton-Yang)?
[paper/bansal-zhou-2002-term-structure-regime-shifts] Do regime shifts also resolve the bond risk premia “puzzles” beyond the Campbell-Shiller violations (e.g., excess return predictability via the Cochrane-Piazzesi factor)?
[paper/bansal-zhou-2002-term-structure-regime-shifts] Are there better estimation strategies than EMM (e.g., Hamilton filter likelihood, particle filter, MCMC) that exploit the no-arbitrage structure more directly?
[paper/bikbov-chernov-monetary-policy-regimes-term-structure] Can the regime-switching forward solution be extended to state-dependent
[paper/bikbov-chernov-monetary-policy-regimes-term-structure] Does pricing the risk of regime change (a la Dai-Singleton-Yang) materially
[paper/bikbov-chernov-monetary-policy-regimes-term-structure] How well does the eight-regime model handle the post-2008 zero-lower-bound
[paper/bikbov-chernov-monetary-policy-regimes-term-structure] Is the local identification result of structural parameters from observed
[paper/cap-rate-please-explain] How much does the trailing vs. forward-looking NOI difference matter for empirical asset pricing models that assume forward-looking cap rates (like the dynamic Gordon model)?
[paper/cap-rate-please-explain] Are the systematic 40 bp differences between appraisal and transaction cap rates driven by appraisal smoothing, transaction selection bias, or both?
[paper/cho-moreno-2010-forward-method-rational-expectations] What is the formal relation between the FCC and standard determinacy conditions (Blanchard–Kahn, Klein, Sims)? The authors conjecture an additional FCC for constants is closely tied to determinacy.
[paper/cho-moreno-2010-forward-method-rational-expectations] When fundamental and non-fundamental REEs coexist, which class is more relevant to a given model?
[paper/cho-moreno-2010-forward-method-rational-expectations] What are the general theoretical relations (necessity, sufficiency) between the NBC refinement and the MSV / MOD / E-stability criteria?
[paper/cho-moreno-2010-forward-method-rational-expectations] Can E-stability be reformulated within the forward method framework as a refinement scheme?
[paper/cho-moreno-2010-forward-method-rational-expectations] Under what extensions (Markov-switching dynamics, regime-switching coefficient matrices) can the forward method and the FCC be generalized? (Not addressed by the paper but central to the CRE asset pricing project’s use of this method.)
[paper/costa-fragoso-marques-mjls-textbook] How tight are the LMMSE error bounds against the true (intractable)
[paper/costa-fragoso-marques-mjls-textbook] For the partial-information control problem (Chapter 6) the separation
[paper/costa-fragoso-marques-mjls-textbook] Convergence-rate results for the coupled Riccati recursion are mostly
[paper/crouse-gaussian-mixture-reduction-survey] Is there a closed-form globally optimal ISE Gaussian mixture reduction, even
[paper/crouse-gaussian-mixture-reduction-survey] For the specific case of switching-state-estimation filters (where the mixture
[paper/crouse-gaussian-mixture-reduction-survey] Does the Runnalls = GMRC parity in tracking generalize to higher-dimensional
[paper/crouse-gaussian-mixture-reduction-survey] Can the negative-weight bug in unconstrained COWA / GMRC explain divergence
[paper/dai-singleton-yang-2007-regime-shifts-term-structure] How should the framework be extended when factor dynamics are themselves driven
[paper/dai-singleton-yang-2007-regime-shifts-term-structure] What is the right way to price regime-shift risk when the Markov chain is
[paper/dai-singleton-yang-2007-regime-shifts-term-structure] Can the closed-form-affine pricing recursion be extended to quadratic
[paper/dai-singleton-yang-2007-regime-shifts-term-structure] How robust is the regime-shift risk premium estimate to the choice of
[paper/design-brief-global-optimization-pipeline] What is the right restart allocation rule (uniform vs greedy top-K vs
[paper/design-brief-global-optimization-pipeline] What is the right Phase B R schedule (R=500 is 100% hit rate but is still
[paper/design-brief-global-optimization-pipeline] Is label-symmetry / gap-of-gaps a reliable false-basin classifier on a
[paper/design-brief-global-optimization-pipeline] Which, if any, of the eleven “additional lessons” should the pipeline
[paper/determinacy-classification-markov-switching-rational-expectations] Formal proof that the forward method always converges to the MOD solution in MSRE models.
[paper/determinacy-classification-markov-switching-rational-expectations] Extension to non-linear MSRE models beyond first-order perturbation approximation.
[paper/determinacy-classification-markov-switching-rational-expectations] Empirical prevalence of the “unique stable MSV + indeterminate” phenomenon in estimated DSGE models.
[paper/dsge-model-based-estimation-new-keynesian] Can the slope of the NKPC be identified more robustly by using microeconomic price-change data to discipline the Calvo probability parameter?
[paper/dsge-model-based-estimation-new-keynesian] How sensitive are NKPC estimates to the specification of wage rigidity (an issue flagged but not deeply explored)?
[paper/dsge-model-based-estimation-new-keynesian] Does the use of regime-switching models (which allow the NKPC parameters themselves to change over time) resolve the apparent instability in estimates across sub-samples?
[paper/dsge-model-based-estimation-new-keynesian] What is the true importance of the backward-looking term gamma_b for inflation persistence and optimal monetary policy?
[paper/expected-returns-expected-growth-rents-commercial] Does the office cap-rate predictability puzzle persist in out-of-sample data covering the 2003-2025 period, including the GFC and COVID?
[paper/expected-returns-expected-growth-rents-commercial] Can the failure of cap rates to predict office returns be resolved by adding regime-switching dynamics to the expected-return process?
[paper/expected-returns-expected-growth-rents-commercial] What is the structural economic explanation for why office rent growth covaries more strongly with discount rates than other property types?
[paper/generalized-disappointment-aversion-long-run-volatility] Can GDA preferences generate realistic term structure dynamics when embedded in a macro-finance model?
[paper/generalized-disappointment-aversion-long-run-volatility] How do GDA preferences interact with regime-switching monetary policy in a production economy?
[paper/generalized-disappointment-aversion-long-run-volatility] What is the empirical evidence for the disappointment threshold parameter kappa in micro data?
[paper/ghysels-forecasting-real-estate-prices] How to construct a quality-adjusted index that does not introduce
[paper/ghysels-forecasting-real-estate-prices] Are the predictive results robust out-of-sample? The chapter explicitly
[paper/ghysels-forecasting-real-estate-prices] Are there asymmetric responses of prices to positive vs. negative
[paper/ghysels-forecasting-real-estate-prices] Can a structural model with credit constraints, heterogeneous agents,
[paper/ghysels-forecasting-real-estate-prices] What is the right way to combine the high-frequency, market-priced
[paper/hansen-scheinkman-2009-long-term-risk-operator-approach] How to numerically compute the principal eigenpair $(ρ, ϕ)$ for a general nonlinear continuous-time Markov environment?
[paper/hansen-scheinkman-2009-long-term-risk-operator-approach] Can the apparatus be extended to multiplicative functionals built from infinite-activity Lévy processes?
[paper/hansen-scheinkman-2009-long-term-risk-operator-approach] What are sharp bounds on the convergence rate $η$ in Proposition 7.4 in terms of model primitives?
[paper/hansen-scheinkman-2009-long-term-risk-operator-approach] How can subdominant eigenvalues be used to obtain refined long-run approximations and to characterize the speed at which the long-run dominance kicks in?
[paper/hansen-scheinkman-2009-long-term-risk-operator-approach] Does the multiplicative factorization survive under model misspecification — e.g., when the assumed Markov state is only an approximation?
[paper/higher-order-effects-asset-pricing-models] Can Markov-switching representations (as in generalized-disappointment-aversion-long-run-volatility) avoid these errors while maintaining analytical tractability?
[paper/higher-order-effects-asset-pricing-models] How do these approximation errors propagate into structural estimation (e.g., Bayesian posteriors)?
[paper/higher-order-effects-asset-pricing-models] Is there a systematic way to determine when log-linearization is adequate without computing the full nonlinear solution?
[paper/higher-order-effects-asset-pricing-models] Do the errors affect the sign or magnitude of welfare calculations in these models?
[paper/leather-sagi-constrained-optimization-benchmark-54d] Can a derivative-free optimizer exploit the known structure of $m_{4}$ and $m_{6}$
[paper/leather-sagi-constrained-optimization-benchmark-54d] Is there a structured multi-fidelity scheme that avoids the rank-correlation
[paper/leather-sagi-constrained-optimization-benchmark-54d] What is the right way to handle the 154-nat displacement between the sample MLE
[paper/leather-sagi-constrained-optimization-benchmark-54d] Does the label-symmetry / gap-of-gaps idea reliably classify a candidate
[paper/leather-sagi-markov-switching-cre-asset-pricing] Is the 2005–2010 model–price gap an economic bubble or a missing pricing factor?
[paper/leather-sagi-markov-switching-cre-asset-pricing] Does regime-switching in the CRE income coefficients improve identification?
[paper/leather-sagi-markov-switching-cre-asset-pricing] **What is the spectral / no-bubble condition for the multivariate exponential-
[paper/leather-sagi-markov-switching-cre-asset-pricing] Out-of-sample CRE price forecasting under the regime-switching model has not
[paper/leather-sagi-markov-switching-cre-asset-pricing] GSE subsidy decomposition. The Apartment mortgage spread is suspiciously low;
[paper/long-run-taylor-principle-revisited] In which economic models does the regime-independence restriction hold naturally (i.e., is implied by the economic theory)?
[paper/long-run-taylor-principle-revisited] How large is the gap between the LRTP region and the FWZ determinacy region in empirically calibrated models?
[paper/mazor-imm-target-tracking-survey] How to learn or adapt the Markov transition matrix Π online from data?
[paper/mazor-imm-target-tracking-survey] How to extend the IMM interaction trick to nonlinear / non-Gaussian
[paper/mazor-imm-target-tracking-survey] How to choose the mode set automatically when the target’s manoeuvre repertoire
[paper/mazor-imm-target-tracking-survey] How to combine IMM with multi-target data association (JPDAF, MHT) without the
[paper/monetary-policy-regime-switches-macroeconomic-dynamics] Determinacy in the full solution class (not just MSV) with predetermined variables and regime switching.
[paper/monetary-policy-regime-switches-macroeconomic-dynamics] Endogenous switching probabilities dependent on economic outcomes.
[paper/monetary-policy-regime-switches-macroeconomic-dynamics] Whether inflation target or response switches best explain U.S. monetary history (an empirical question).
[paper/monetary-policy-regime-switches-macroeconomic-dynamics] Optimal policy design in a switching environment.
[paper/moon-basar-risk-sensitive-control-mjls] Is there a tractable approximate risk-sensitive controller for MJLS with provable suboptimality bounds?
[paper/moon-basar-risk-sensitive-control-mjls] Does the equivalence breakdown extend to discrete-time MJLS?
[paper/moon-basar-risk-sensitive-control-mjls] Does any non-quadratic value function ansatz close the HJB for MJLS-LEQG?
[paper/moon-basar-risk-sensitive-control-mjls] Are there special parameter regimes (e.g. slow regime switching, weak coupling) where the equivalence approximately holds?
[paper/murphy-1998-switching-kalman-filters] How tight is the Boyen-Koller “bounded error” guarantee in practice for SKF
[paper/murphy-1998-switching-kalman-filters] For the EM step, when does replacing $E [x_{t} ∣ y_{1 : T}, S_{1 : T}]$
[paper/murphy-1998-switching-kalman-filters] Can the variational SKF of [GH96b] be combined with collapsing-style
[paper/murphy-1998-switching-kalman-filters] What is the right way to choose the order $r$ in GPB( $r$ ) adaptively, based
[paper/other-commercial-real-estate-boom-bust] Does the risk-premium / regulatory-capital channel extend to the 2020-2025 period of COVID disruption, remote-work shocks to office CRE, and the 2022-2024 Fed tightening cycle?
[paper/other-commercial-real-estate-boom-bust] Can the model’s decomposition be made fully structural by embedding the regulatory capital channel in a no-arbitrage macro-finance framework with regime switching?
[paper/other-commercial-real-estate-boom-bust] How does the capital availability effect interact with the regime-switching monetary policy channel identified in leather-sagi-markov-switching-cre-asset-pricing?
[paper/pricing-long-lived-securities-dynamic-endowment] How does the strip-integral approach extend to discrete-time Markov-switching models where the state space is finite?
[paper/pricing-long-lived-securities-dynamic-endowment] Can the Riccati ODEs for strip prices be connected to the coupled Riccati recursions in regime-switching bond/asset pricing?
[paper/pricing-long-lived-securities-dynamic-endowment] What is the quantitative impact of the single remaining approximation (wealth-consumption ratio) on estimated structural parameters?
[paper/regime-switches-agents-beliefs-post-world] How would endogenous transition probabilities (e.g., depending on the level of inflation) change the beliefs-counterfactual results?
[paper/regime-switches-agents-beliefs-post-world] Can beliefs counterfactuals be extended to the post-2008 period with explicit ZLB modeling?
[paper/regime-switches-agents-beliefs-post-world] What is the interaction between beliefs about monetary policy regimes and financial market risk premia (not modeled here)?
[paper/regime-switches-agents-beliefs-post-world] How robust are the Hawk/Dove regime datings to alternative model specifications (e.g., adding financial frictions)?
[paper/research-journal-cre-model-development] What is the right way to keep this kind of research journal going? It is
[paper/research-journal-cre-model-development] Should the experiment pages auto-link back to the journal phases that
[paper/riccati-equations-leather-sagi] Exact eigenfunction of T: is there a tractable characterization of the true (non-approximate) loading, e.g., as the fixed point of a coupled nonlinear system across regimes?
[paper/riccati-equations-leather-sagi] Tightness of stacked vs. absorbing: which loading is uniformly better across the full Leather-Sagi parameter region, or is the “stacked primary, absorbing backstop” hybrid actually optimal?
[paper/riccati-equations-leather-sagi] Higher-order cumulants: is there a regime where the third cumulant matters, and if so what is the analog of the K matrix that captures it?
[paper/riccati-equations-leather-sagi] MLE pathologies near the boundary: how does the smooth log-barrier interact with the m_g IS-stationarity constraint and with the BOBYQA optimizer used in the project’s 54-D estimation pipeline?
[paper/runnalls-kl-gaussian-mixture-reduction] How does the Runnalls KL-bound greedy reduction compare to modern variational
[paper/runnalls-kl-gaussian-mixture-reduction] Is there a principled stopping rule (data-driven choice of M) using the bound
[paper/runnalls-kl-gaussian-mixture-reduction] Can the bound be tightened to second order without losing the closed form?
[paper/situsamc-real-estate-report-2q-2025] The current 3.7 pp spread of CRE yields over Treasuries is much narrower than the 6.0 pp in 2Q 2021. Does this compression reflect declining risk premia (per the Duca-Ling framework) or compression of the capital availability premium?
[paper/situsamc-real-estate-report-2q-2025] Do the regional cap rate differentials (East highest, West/South lowest for apartments) align with the supply-constraint-driven predictability patterns found by Plazzi-Torous-Valkanov (2010)?
[paper/synthesis-final-day-sprint-decisions] Does the geometric tail operator η_H · r/(1-r) with a single global r
[paper/synthesis-final-day-sprint-decisions] Should false-basin classification (label-symmetry / gap-of-gaps) be run
[paper/synthesis-final-day-sprint-decisions] Is there a clean central-FD curvature rerun (Exp 11b) that would restore
[paper/testing-indeterminacy-application-monetary-policy] How do indeterminacy results change in medium-scale DSGE models with more shocks and frictions?
[paper/testing-indeterminacy-application-monetary-policy] Can the approach be combined with regime-switching to avoid the sub-sample split?
[paper/testing-indeterminacy-application-monetary-policy] What are the welfare implications of the estimated sunspot shocks?
[paper/testing-indeterminacy-application-monetary-policy] How does indeterminacy interact with the zero lower bound on nominal interest rates?
[paper/understanding-markov-switching-rational-expectations-models] Extension to models with predetermined variables (addressed later by Farmer et al. 2011, Cho 2014/2020, Foerster et al. 2016).
[paper/understanding-markov-switching-rational-expectations-models] Efficient algorithms for the general constrained optimization (Corollary 1) beyond the k_i = 1 special case.
[paper/understanding-markov-switching-rational-expectations-models] Whether indeterminate MSRE models can be estimated by partitioning the parameter space into determinate/indeterminate regions with separate likelihood constructions.
[paper/white-2017-unifying-task-specification-rl] Can s_D be bounded in closed form for natural classes of transition-based discount schedules (e.g., subgoal hierarchies, soft-termination chains), to recover the interpretability of the constant-γ case?
[paper/white-2017-unifying-task-specification-rl] How does the choice of soft-termination value ε trade off between bias of the truncated return and ease of credit assignment in deep RL settings?
[paper/white-2017-unifying-task-specification-rl] Can the contraction analysis be lifted to nonlinear function classes (e.g., neural value approximators) that violate the linear A4 condition?
[paper/yu-mahmood-sutton-generalized-bellman-td-learning] Convergence and finite-sample analysis for gradient-based TD algorithms (GTD2, TDC, proximal-TD) under the same bounded-trace scheme.
[paper/yu-mahmood-sutton-generalized-bellman-td-learning] Error bounds for v - v_pi when the projected generalized Bellman equation has a unique solution (referenced via [22, 32] but not derived here).
[paper/yu-mahmood-sutton-generalized-bellman-td-learning] Extension to control (state-action value functions and policy improvement) rather than pure policy evaluation.
[paper/yu-mahmood-sutton-generalized-bellman-td-learning] How to design the memory function g and the lambda function in practice for variance-reduction effectiveness.
[paper/yu-mahmood-sutton-generalized-bellman-td-learning] Continuous state and action spaces.
[topic/commercial-real-estate-pricing-regimes] Estimation pipeline: moving from local recovery (PASS) to global recovery (FAIL on
[topic/commercial-real-estate-pricing-regimes] Out-of-sample validation on real-data CRE indices (NCREIF, Green Street, RCA) under
[topic/commercial-real-estate-pricing-regimes] Comparative pricing of CRE vs Treasuries under the same regime-switching kernel has
[topic/markov-jump-linear-systems-control-filtering] Numerical convergence theory for coupled exponential-quadratic Riccati recursions
[topic/markov-jump-linear-systems-control-filtering] MJLS-aware particle filter design — the literature treats RBPF as a generic technique;
[topic/markov-switching-term-structure-models] Quadratic / exponential-quadratic asset pricing under multivariate Markov switching
[topic/markov-switching-term-structure-models] Estimation under simulated DGP for MS-TSM with full-likelihood (RBPF) is a small
[topic/markov-switching-term-structure-models] Identification under absorbing / transient regimes (e.g., monetary policy regime
[topic/markov-switching-term-structure-models] Regime-switching models with more than two binary chains (i.e. compound regimes) are
[topic/markov-switching-term-structure-models] The interaction between regime-switching pricing and particle-filter / RBPF estimation
[topic/switching-state-estimation] Online asymptotic onset detection for the per-period Riccati horizon was tested
[topic/switching-state-estimation] Block-relative curvature at the MLE incumbent is currently DIAGNOSTIC_ONLY because
[topic/commercial-real-estate-pricing-regimes] Long-run convergence of quadratic pricing recursions depends on whether the spectral
[topic/commercial-real-estate-pricing-regimes] No-bubble check for the macro RE solution: the absorbing-NBC variant is the current
[topic/commercial-real-estate-pricing-regimes] Income process specification: apartment / industrial / office cash flows are modeled
[topic/commercial-real-estate-pricing-regimes] Curvature / identification: the likelihood at the incumbent is extremely sloppy
[topic/markov-jump-linear-systems-control-filtering] Risk-sensitive MJLS — no closed-form solutions; numerical approximation only
[topic/markov-jump-linear-systems-control-filtering] Coupled Riccati existence under degenerate transition matrices (absorbing or
[topic/markov-jump-linear-systems-control-filtering] Identifiability of mode-conditional parameters from observed mixed data is hard;
[topic/markov-switching-term-structure-models] Likelihood evaluation with both continuous-state filtering and discrete-state inference
[topic/markov-switching-term-structure-models] Identifying priced regime risk separately from regime-induced volatility shifts
[topic/markov-switching-term-structure-models] Most models live entirely on the bond side; extending no-arbitrage MS-TSM to other
[topic/markov-switching-term-structure-models] Joint identification of regime-conditional risk prices and physical transition
[topic/markov-switching-term-structure-models] Mapping latent regimes onto observable monetary policy / inflation regimes without
[topic/switching-state-estimation] Particle degeneracy under highly persistent regimes — the regime path posterior
[topic/switching-state-estimation] Variance reduction for RBPF in MJLS — the literature largely treats RBPF as a
[topic/switching-state-estimation] Honest UQ for likelihood estimates — the RBPF likelihood is a Monte Carlo estimator
[concept/bayesian-indeterminacy-testing] Extending to nonlinear DSGE models where the determinacy/indeterminacy
[concept/bayesian-indeterminacy-testing] Joint estimation of indeterminacy and regime switching (the model
[concept/bayesian-indeterminacy-testing] Computational challenges: the likelihood under indeterminacy requires
[concept/beliefs-counterfactual-simulation] Combining beliefs counterfactuals with learning (agents gradually
[concept/beliefs-counterfactual-simulation] Extending to nonlinear MS-DSGE models where higher-order
[concept/beliefs-counterfactual-simulation] Quantifying the credibility channel in the post-2008 ZLB environment.
[concept/cir-square-root-term-structure] General closed-form pricing for regime-switching CIR remains intractable (only log-linear approximations are available); convergence/error bounds at long maturities are not fully characterized.
[concept/cir-square-root-term-structure] Extending the affine/CIR family to non-Gaussian shocks (jumps, fat tails) while preserving tractable pricing.
[concept/coupled-algebraic-riccati-equation] Sharp convergence-rate bounds for the CDRE → CARE iteration, beyond the
[concept/coupled-algebraic-riccati-equation] Tight existence conditions for the H_∞ coupled Riccati / coupled Riccati
[concept/coupled-algebraic-riccati-equation] Numerical preconditioning of the CDRE iteration in regimes where the
[concept/coupled-riccati-recursions-regime-switching-asset] A non-heuristic, error-bounded path-pruning scheme.
[concept/coupled-riccati-recursions-regime-switching-asset] Analytic conditions on (Π, Φ^Q, Σ) under which the stacked Riccati error is O(ρ(K)^n) versus merely o(1).
[concept/coupled-riccati-recursions-regime-switching-asset] Extension to multi-asset payoffs with cross-asset regime correlations beyond the simple block-triangular augmentation.
[concept/coupled-riccati-recursions-regime-switching-asset] Tight characterization of when stacked vs. absorbing steady-state loading is more accurate (see spectral-radius-test-markov-pricing-operator).
[concept/cre-cap-rate-decomposition] How to reconcile the office exception (rent growth matters for offices
[concept/cre-cap-rate-decomposition] Whether the decomposition is stable across different monetary policy
[concept/cre-cap-rate-decomposition] How to handle the mismatch between trailing NOI (data) and expected
[concept/efficient-method-of-moments] Bias correction and small-sample inference for EMM in the presence of weak identification.
[concept/efficient-method-of-moments] Diagnostics for SNP misspecification that propagate cleanly to the structural standard errors.
[concept/exponential-belief-state-growth] Sharper conditions under which a low-dimensional $r$ -step history buffer
[concept/exponential-belief-state-growth] Adaptive history-buffer sizing based on regime entropy / mixing time
[concept/exponential-belief-state-growth] Exact inference via factor-graph contraction tricks for SKFs with sparse
[concept/exponential-quadratic-asset-pricing-factors] A formal Hansen–Scheinkman-style spectral characterization of the
[concept/exponential-quadratic-asset-pricing-factors] Whether the geometric-tail closed form can be replaced by a
[concept/exponential-quadratic-asset-pricing-factors] AD through the Riccati: ForwardDiff works but is slow (~158 s/eval at
[concept/forward-convergence-condition] Necessary-and-sufficient conditions linking FCC to standard determinacy.
[concept/forward-convergence-condition] Generalization to Markov-switching coefficient matrices where the recursion becomes a fixed-point on a vector of regime-conditional Ω^(s). (Used implicitly in the CRE asset pricing project but not formally proved.)
[concept/forward-convergence-condition] A practical numerical tolerance for declaring (Ω_k, Γ_k) “converged” — Cho–Moreno’s Example 1 reaches machine precision by k=25 but Example 4 (near-repeated roots) can take >1000 iterations.
[concept/forward-looking-taylor-rule-regime-switching] Endogenizing the regime transition probabilities as functions of macro
[concept/forward-looking-taylor-rule-regime-switching] Disentangling persistent monetary shocks from regime switches in
[concept/forward-looking-taylor-rule-regime-switching] Joint estimation with a binding zero lower bound or shadow short rate.
[concept/forward-method-rational-expectations] Markov-switching generalization (regime-dependent structural matrices) is needed for the CRE asset pricing project but is not covered in the 2010 paper. The Riccati-recursion analogue lives in compute_quadratic_pricing_factors_msvar.
[concept/forward-method-rational-expectations] Necessary-and-sufficient conditions linking FCC to standard determinacy conditions (Blanchard–Kahn, Klein, Sims).
[concept/forward-method-rational-expectations] Extensions to non-linear or models with constants where steady states are not known.
[concept/gaussian-mixture-reduction] A closed-form globally optimal ISE reduction, even for small (N, L). All current
[concept/gaussian-mixture-reduction] A clean characterization of when the expensive GMRC / brute-force methods are
[concept/gaussian-mixture-reduction] Whether the parity result (Runnalls = GMRC in tracking) holds in
[concept/gaussian-mixture-reduction] A principled way to select L (order determination) jointly with the reduction;
[concept/gaussian-mixture-reduction] Tight, non-greedy GMR with provable bounds on the true KL gap.
[concept/gaussian-mixture-reduction] Mode-aware reduction that explicitly preserves multimodality structure when
[concept/gaussian-mixture-reduction] Reduction algorithms for mixtures of degenerate / rank-deficient Gaussians
[concept/generalized-bellman-equation] Finite-sample bounds for projected generalized Bellman equation solvers (LSTD, gradient-TD) in the trace-dependent lambda setting.
[concept/generalized-bellman-equation] Optimal stopping-time design (variance-bias tradeoff) when both gamma and rho vary along the trajectory.
[concept/generalized-bellman-equation] Extension of the Yu-Mahmood-Sutton ergodicity result to continuous state spaces and to control (not just policy evaluation).
[concept/generalized-disappointment-aversion] How to estimate GDA parameters from household-level consumption and portfolio data
[concept/generalized-disappointment-aversion] Integration of GDA preferences with macro-finance models (Taylor rules, regime switching)
[concept/generalized-disappointment-aversion] Welfare implications of GDA preferences for policy analysis
[concept/gpb-imm-collapsing-filters] Adaptive- $r$ GPB filters that increase the kept history when the regime
[concept/gpb-imm-collapsing-filters] Tighter error bounds beyond the Boyen-Koller “stochasticity-induced
[concept/gpb-imm-collapsing-filters] IMM-style smoothing with a cross-variance recovery trick
[concept/identification-under-regime-switching] General identifiability theorems for regime-switching VARs with structural
[concept/identification-under-regime-switching] Identification of regime transition probabilities versus regime
[concept/identification-under-regime-switching] Identification under approximate pricing schemes: when bond prices are
[concept/inflation-risk-premium] How much of the empirical time variation in the IRP is real versus an
[concept/inflation-risk-premium] Are IRP estimates from nominal-yield-only models reconcilable with TIPS-
[concept/inflation-risk-premium] Can the IRP be tied directly to identifiable monetary policy stance / policy
[concept/interacting-multiple-model-imm] Online learning of the Markov transition matrix Π from data.
[concept/interacting-multiple-model-imm] Principled mode-set selection / pruning when the manoeuvre repertoire is not
[concept/interacting-multiple-model-imm] Composition with multi-target data association (JPDAF, MHT) without the
[concept/interacting-multiple-model-imm] Tighter theoretical characterization of the moment-matching bias relative to
[concept/log-linearization-approximation-error] No simple diagnostic exists to determine when log-linearization is adequate without computing the nonlinear solution
[concept/log-linearization-approximation-error] Propagation of approximation errors into Bayesian structural estimation is not well understood
[concept/log-linearization-approximation-error] The interaction between log-linearization errors and Monte Carlo estimation noise in applied work is unexplored
[concept/long-run-taylor-principle] Quantifying the size of the gap between the LRTP region and the MSS determinacy region for empirically calibrated models.
[concept/long-run-taylor-principle] Whether the regime-independence restriction (Hayashi 2017) is economically reasonable in specific applications.
[concept/long-run-taylor-principle] Extension of the LRTP concept to models with endogenous switching probabilities.
[concept/markov-jump-linear-system] Tight bounds on the gap between LMMSE and the optimal nonlinear filter for
[concept/markov-jump-linear-system] Sharper convergence-rate results for the coupled Riccati recursion.
[concept/markov-jump-linear-system] Extending the H^n framework to stochastic chains with countable or
[concept/markov-regime-switching-asset-prices] Endogenizing the transition matrix as a function of macro state (state-dependent transition probabilities).
[concept/markov-regime-switching-asset-prices] Joint estimation of the number of regimes K together with the structural parameters.
[concept/markov-regime-switching-asset-prices] Globally accurate non-affine pricing for regime-switching models with K > 2.
[concept/markov-regime-switching-asset-prices] Tractable likelihood evaluation for compound chains with many factor regimes (current state of the art is RBPF).
[concept/markov-switching-rational-expectations-cre-pricing] A formal long-run convergence result for the multivariate exponential-
[concept/markov-switching-rational-expectations-cre-pricing] A scalable global-optimization stack that does not lie about the basin
[concept/markov-switching-rational-expectations-cre-pricing] Out-of-sample CRE forecasting on alternative price series (Green Street, RCA).
[concept/mean-square-stability-operator-spectral-radius] Sharp convergence rates for E[x(k) x(k)*] → 0 as a function of the spectral
[concept/mean-square-stability-operator-spectral-radius] Robust MSS under uncertain transition probabilities — the LMI route is one
[concept/mean-square-stability-operator-spectral-radius] Extension to MJLS over Polish-state Markov chains where the operator T is
[concept/mod-solution-msre-determinacy] Formal proof that the forward method converges to the MOD solution for MSRE models.
[concept/mod-solution-msre-determinacy] Comparison of MOD-based MSS classification with bounded-stability classification (Barthelemy-Marx 2019).
[concept/mod-solution-msre-determinacy] Extension to non-linear MSRE models.
[concept/mod-solution-msre-determinacy] Empirical prevalence of the “unique stable MSV but indeterminate” phenomenon in estimated DSGE models.
[concept/monetary-policy-regime-switching] Whether the policy-stance chain and the discretion chain are truly
[concept/monetary-policy-regime-switching] Whether the four-regime structure should add an output-gap-volatility
[concept/monetary-policy-regime-switching] The role of unconventional monetary policy (QE, forward guidance) and
[concept/multiplicative-factorization-stochastic-discount-factor] General-purpose numerics for the multiplicative factorization in regime-switching, jump, or genuinely nonlinear environments.
[concept/multiplicative-factorization-stochastic-discount-factor] Robustness of the decomposition under model misspecification.
[concept/multiplicative-factorization-stochastic-discount-factor] Connection to subdominant eigenvalues for refined finite-horizon corrections.
[concept/new-keynesian-phillips-curve] Reconciling micro evidence on price-change frequency (Bils-Klenow
[concept/new-keynesian-phillips-curve] The role of strategic complementarities in price setting and their
[concept/new-keynesian-phillips-curve] Nonlinear NKPC specifications for large shocks (the log-linear
[concept/no-bubble-condition] General theoretical relations (necessity, sufficiency) between the NBC refinement and MSV / MOD / E-stability.
[concept/no-bubble-condition] Markov-switching extension: how does the NBC generalize when structural matrices depend on a regime process?
[concept/no-bubble-condition] Whether the NBC has a natural reformulation in terms of asset-pricing risk-neutral measures (relevant to the CRE project’s term-structure pricing pipeline).
[concept/principal-eigenfunction-pricing-operator] General-purpose numerical algorithms for $(ρ, ϕ)$ in non-affine, nonlinear, possibly regime-switching environments.
[concept/principal-eigenfunction-pricing-operator] Sharp characterization of the convergence rate $η$ at which the rescaled semigroup approaches its long-run limit.
[concept/principal-eigenfunction-pricing-operator] Use of subdominant eigenpairs to construct corrections that improve finite-horizon approximations.
[concept/rbpf-particle-count-diagnostics] Is there a closed-form bound linking $SNR_{cap}$ and
[concept/rbpf-particle-count-diagnostics] Does a predictor trained on the simulated-DGP panel transfer to real data,
[concept/rbpf-particle-count-diagnostics] Can Feature Set D be replaced by its leading Riccati eigenvalue directly
[concept/real-estate-price-indices] How to construct an index that is simultaneously quality-adjusted,
[concept/real-estate-price-indices] How to combine high-frequency REIT signals with low-frequency direct
[concept/real-estate-price-indices] Whether spatial-econometric and machine-learning approaches (e.g.
[concept/real-rate-expected-inflation-decomposition] How much variation across published decompositions reflects true model
[concept/real-rate-expected-inflation-decomposition] How can the decomposition be extended to multi-country settings without
[concept/real-rate-expected-inflation-decomposition] Joint decomposition of nominal and corporate / municipal yields under a
[concept/regime-shift-risk-premium] A clean prior / regularization for η_{ij,·} that prevents the regime-shift
[concept/regime-shift-risk-premium] Identification of separate regime-shift premia for compound (independent
[concept/regime-shift-risk-premium] The regime-shift risk premium under exponential-quadratic pricing factors —
[concept/regime-switching-affine-term-structure-model] A clean treatment of state-dependent Π(X_t) without the log-linear
[concept/regime-switching-affine-term-structure-model] Unified pricing recursion for compound (independent sub-chain) regimes that
[concept/regime-switching-affine-term-structure-model] Extension to exponential-quadratic pricing factors with state-dependent Π —
[concept/regime-switching-affine-term-structure] Joint identification of regime-conditional risk prices and physical-measure
[concept/regime-switching-affine-term-structure] Extending the framework to many discrete regimes (curse of dimensionality on
[concept/regime-switching-affine-term-structure] Bridging discrete regime switching with continuous-time stochastic
[concept/regime-switching-no-arbitrage-term-structure] State-dependent transition probabilities while preserving (regime-switching)
[concept/regime-switching-no-arbitrage-term-structure] Pricing the risk of regime change without sacrificing structural
[concept/regime-switching-no-arbitrage-term-structure] Accuracy of approximate bond-pricing schemes at very long horizons; the
[concept/risk-sensitive-mjls-impossibility] Tractable approximate risk-sensitive MJLS controllers with explicit suboptimality bounds.
[concept/risk-sensitive-mjls-impossibility] Discrete-time MJLS analog of the impossibility result.
[concept/risk-sensitive-mjls-impossibility] Identification of any non-quadratic value-function ansatz that closes the MJLS-LEQG HJB.
[concept/risk-sensitive-mjls-impossibility] Slow-switching / weak-coupling asymptotic regimes where approximate Jacobson equivalence might hold.
[concept/semigroup-approach-asset-pricing] Numerical algorithms for the principal eigenpair in non-affine, non-finite-state environments.
[concept/semigroup-approach-asset-pricing] Extension to multiplicative functionals built from infinite-activity Lévy processes (Hansen-Scheinkman conclusions, open problem).
[concept/semigroup-approach-asset-pricing] Quantitative use of subdominant eigenvalues for refined finite-horizon approximations.
[concept/spectral-radius-test-markov-pricing-operator] A computable closed-form expression for the exact eigenfunction of T, beyond the absorbing / stacked approximations.
[concept/spectral-radius-test-markov-pricing-operator] A principled hybrid of stacked and absorbing loadings that is uniformly more accurate than either.
[concept/spectral-radius-test-markov-pricing-operator] Sharp analytic bounds on the gap r(T) − ρ(M) as a function of regime persistence and Σ_z.
[concept/spectral-radius-test-markov-pricing-operator] Higher-cumulant corrections analogous to Bikbov-Chernov’s two-cumulant expansion of λ*, to characterize when the spectral test itself is loose.
[concept/state-dependent-regime-transition-probabilities] A principled way to choose between logistic, probit, and free-form
[concept/state-dependent-regime-transition-probabilities] Particle-filter / Rao–Blackwellized particle filter implementations of
[concept/state-dependent-regime-transition-probabilities] Extension to compound Markov chains (multiple independent sub-chains) where
[concept/switching-kalman-filter] Optimal trade-off between collapsing order $r$ and computational cost
[concept/switching-kalman-filter] Tight error bounds on collapsing approximations beyond Boyen-Koller
[concept/switching-kalman-filter] Online learning of SKF parameters with regime change-point detection
[concept/transition-based-discounting] Closed-form bounds on s_D for natural classes of transition-based discount schedules (subgoal hierarchies, soft-termination chains), to recover the interpretability of the constant-γ analysis.
[concept/transition-based-discounting] Principled choice of the soft-termination value ε, trading bias of the truncated return against ease of credit assignment.
[concept/transition-based-discounting] Lifting the contraction analysis to nonlinear function classes used in deep RL.
[claim/anticipated-monetary-policy-regimes-drive-cre-cap-rates] Anticipated changes in monetary policy regime are a first-order driver of CRE cap rates and CRE-collateralized mortgage spreads (status: weakly_supported)
[claim/bounded-eligibility-traces-enable-off-policy] Bounded eligibility traces enable off-policy TD with much larger lambda values than prior schemes (status: weakly_supported)
[claim/cre-prices-sharpen-monetary-policy-regime-identification] Adding commercial real estate prices to a joint estimation sharpens monetary policy regime identification (status: weakly_supported)
[claim/cre-risk-premia-drive-cap-rate-cycles] CRE cap rate boom-bust cycles are driven primarily by risk premia shifts, not by expected rent growth changes (status: weakly_supported)
[claim/gda-volatility-risk-suffices-equity-premium] GDA preferences with long-run volatility risk alone explain the equity premium (status: weakly_supported)
[claim/inflation-risk-premium-drives-nominal-curve-slope] The inflation risk premium drives the slope of the nominal yield curve (status: weakly_supported)
[claim/moment-matching-collapse-error-bounded] Moment-matching collapse in switching filters has bounded approximation error over time (status: weakly_supported)
[claim/real-estate-returns-show-short-run] Real estate returns show short-run momentum and long-run reversal (status: weakly_supported)
[claim/real-yield-curve-is-approximately-flat] The real-rate term structure is approximately flat (status: weakly_supported)
[claim/regime-shift-risk-priced-in-long-yields] The regime-shift risk premium is an economically large component of the term premium in long-maturity US Treasury bonds (status: weakly_supported)
[claim/risk-sensitive-mjls-no-closed-form] Risk-sensitive optimal control for MJLS has no closed-form Riccati solution and is not equivalent to H-infinity control (status: weakly_supported)
[claim/runnalls-greedy-kl-bound-suffices-tracking] Runnalls’ greedy KL-bound mixture reduction is sufficient for filtering / tracking — more expensive ISE-optimizing reductions give no measurable downstream improvement (status: weakly_supported)
[claim/runnalls-kl-bound-greedy-merge] A closed-form KL upper bound enables anomaly-free greedy pairwise Gaussian mixture reduction (status: weakly_supported)
[claim/state-dependent-transitions-improve-yield-fit] State-dependent Markov transition probabilities significantly improve fit of US Treasury yield dynamics over constant-transition regime-switching DTSMs (status: weakly_supported)
[claim/term-structure-regimes-align-with-business-cycles] Latent Markov regimes estimated from US Treasury yields align with NBER business-cycle phases (status: weakly_supported)
[claim/transition-discount-unifies-episodic-continuing-rl] Transition-based discounting unifies episodic and continuing RL tasks under a single Bellman contraction (status: weakly_supported)
[claim/yield-curve-information-sharpens-identification-monetary] Yield curve information sharpens identification of monetary policy regimes (status: weakly_supported)

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