Stationary ARMA Solutions to Linear Rational Expectations Models with Stationary ARMA Exogenous Processes
This paper considers a general linear model with rational expectations and a stationary ARMA exogenous process. It discusses the conditions for existence and stationarity of completely determined ARMA solutions. When the number of stable roots of the characteristic equation is equal to the number of lagged endogenous variables, there is a unique, determined stationary ARMA solution having the property to exist and to be real in any case. When the model has multiple stationary solutions, it is possible to identify a particular solution having the same property. To avoid the case of no stationary solutions, additional restrictions are needed. Copyright 1996 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Volume (Year): 64 (1996)
Issue (Month): 1 (March)
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