Publications [#369331] of Kyle Jurado

Journal Articles

1. Jurado, K, Rational inattention in the frequency domain, Journal of Economic Theory, vol. 208 (March, 2023) [doi]
   (last updated on 2026/01/14)

   Abstract:
   This paper solves a dynamic rational inattention problem by formulating it in the frequency domain. The main result is a rational inattention version of the classical Wiener-Kolmogorov filter. This filter permits an infinite-dimensional state vector, provides a new line of attack for obtaining closed-form solutions, and can be implemented numerically using a simple iterative algorithm. The frequency-domain approach also sheds new light on why rational inattention produces forward-looking behavior: inattentive agents are willing to accept more uncertainty about the timing of disturbances in exchange for less uncertainty about fluctuations at the most important frequencies.