The solution of dynamic linear rational expectations models

DOI10.1016/0898-1221(89)90111-9zbMath0702.90008OpenAlexW1973660460MaRDI QIDQ915621

Francis X. Diebold

Publication date: 1989

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(89)90111-9

zbMATH Keywords

multiplicity of equilibriafirst-order moving average driving processlinear dynamic rational expectations modelsminimum-variance criterion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic growth models (91B62)

Related Items (14)

VAR forecasting under misspecification ⋮ Kalman filter approach to solution of rational expectations models ⋮ Temporal aggregation of multivariate GARCH processes ⋮ Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? ⋮ What does the yield curve tell us about GDP growth? ⋮ Resolving the forecasting problems of overshoot and volatility clustering using ANFIS coupling nonlinear heteroscedasticity with quantum tuning ⋮ Stackelberg solution for a two-agent rational expectations model ⋮ Temporal aggregation of volatility models ⋮ Properties of optimal forecasts under asymmetric loss and nonlinearity ⋮ The distance-decay function of geographical gravity model: power law or exponential law? ⋮ Forecasting the term structure of government bond yields ⋮ Encompassing tests when no model is encompassing ⋮ On the relation between GARCH and stable processes ⋮ Forecasting with a parsimonious subset VAR model

Cites Work

• Rational Expectations Models and Bounded Memory
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations

This page was built for publication: The solution of dynamic linear rational expectations models