Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence

DOI10.1016/0165-1889(94)90049-3zbMath0814.90010OpenAlexW1536425662MaRDI QIDQ1342432

Allan G. Timmermann

Publication date: 11 January 1995

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

Full work available at URL: https://doi.org/10.1016/0165-1889(94)90049-3

zbMATH Keywords

multiple equilibriafeedbackrational expectationsmultiple solutionsrational bubblespresent value models

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (4)

Equilibrium stock return dynamics under alternative rules of learning about hidden states ⋮ Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration ⋮ A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables ⋮ An evolutionary game theory explanation of ARCH effects

Cites Work

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• The structure of ARMA solutions to a general linear model with rational expectations
• Identification of rational expectations models
• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions

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