THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS

This paper considers linear rational expectations models from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniqueness of both particular and generic linear rational e...

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Bibliographic Details
Published in:Econometric theory 2018-06, Vol.34 (3), p.628-658
Main Author: Al-Sadoon, Majid M.
Format: Article
Language:English
Subjects:
Econometrics
Economic models
Economic theory
Rational expectations
Systems approach
Uniqueness
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Summary:This paper considers linear rational expectations models from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniqueness of both particular and generic linear rational expectations models. To illustrate the applicability of this approach, the paper characterizes the structure of stationary and cointegrated solutions, including a generalization of Granger’s representation theorem.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466617000160