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Solutions to Linear Rational Expectations Models: A Compact Exposition

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  • Bennett T. McCallum

Abstract

An elementary exposition is presented of a convenient and practical solution procedure for a broad class of linear rational expectations models. The undetermined-coefficient approach utilized keeps the mathematics very simple and permits consideration of alternative solution criteria.

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File URL: http://www.nber.org/papers/t0232.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0232.

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Date of creation: Apr 1998
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Publication status: published as McCallum, Bennett T. "Solutions To Linear Rational Expectations Models: A Compact Exposition," Economics Letters, 1998, v61(2,Nov), 143-147.
Handle: RePEc:nbr:nberte:0232

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  1. McCallum, Bennett T., 1983. "On non-uniqueness in rational expectations models : An attempt at perspective," Journal of Monetary Economics, Elsevier, vol. 11(2), pages 139-168.
  2. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
  3. Binder, Michael & Pesaran, M. Hashem, 1997. "Multivariate Linear Rational Expectations Models," Econometric Theory, Cambridge University Press, vol. 13(06), pages 877-888, December.
  4. Harald Uhlig, 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper / Institute for Empirical Macroeconomics 101, Federal Reserve Bank of Minneapolis.
  5. King, Robert G & Watson, Mark W, 1998. "The Solution of Singular Linear Difference Systems under Rational Expectations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1015-26, November.
  6. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
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