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Rational Expectations in Stationary Linear Models

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  • Futia, Carl A
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    Bibliographic Info

    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 49 (1981)
    Issue (Month): 1 (January)
    Pages: 171-92

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    Handle: RePEc:ecm:emetrp:v:49:y:1981:i:1:p:171-92

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    Cited by:
    1. Torben M. Andersen, 1992. "Differential information and excessive volatility in financial markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(1), pages 3-11, Spring.
    2. Albert Marcet & Thomas J. Sargent, 1992. "Speed of convergence of recursive least squares learning with ARMA perceptions," Economics Working Papers 15, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Todd B. Walker, 2006. "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," Caepr Working Papers 2006-011, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    5. Philippe Bacchetta & Eric Van Wincoop, 2008. "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, 08.
    6. Beth Allen & James S. Jordan, 1998. "The existence of rational expectations equilibrium: a retrospective," Staff Report 252, Federal Reserve Bank of Minneapolis.
    7. Rondina, Giacomo & Walker, Todd B., 2013. "A note on Futia (1981)’s non-existence pathology of rational expectations equilibria," Economics Letters, Elsevier, vol. 120(2), pages 177-180.
    8. Saint-Paul, Gilles, 2012. "Some properties of autocoherent models," TSE Working Papers 12-285, Toulouse School of Economics (TSE).
    9. Kenneth Kasa, 1995. "Signal extraction and the propagation of business cycles," Working Papers in Applied Economic Theory 95-14, Federal Reserve Bank of San Francisco.
    10. Makarov, Igor & Rytchkov, Oleg, 2012. "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, vol. 147(3), pages 941-966.
    11. Gregoir, Stephane & Weill, Pierre-Olivier, 2007. "Restricted perception equilibria and rational expectation equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 81-109, January.

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