The structure of ARMA solutions to a general linear model with rational expectations

DOI10.1016/0165-1889(87)90025-XzbMath0637.62109OpenAlexW2006054522MaRDI QIDQ1098538

George W. Evans

Publication date: 1987

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(87)90025-x

zbMATH Keywords

ARMA processesgeneral univariate linear modelARMA solutionsexplicit parametrizationForward looking linear rational expectations modelsnon-uniqueness of solutions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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• Identification of rational expectations models
• Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples
• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models
• The Solution of Linear Difference Models under Rational Expectations
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
• Reduced Forms of Rational Expectations Models

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