THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS

DOI10.1017/S0266466617000160zbMath1390.62331OpenAlexW3124131752MaRDI QIDQ4643225

Majid M. Al-Sadoon

Publication date: 24 May 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466617000160

zbMATH Keywords

Wiener-Hopf factorizationlinear rational expectations modelsGranger's representation theorem

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)

Related Items (5)

Analytic policy function iteration ⋮ A solution to the global identification problem in DSGE models ⋮ Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models ⋮ Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES

Uses Software

• Gensys

Cites Work

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