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Identification in Dynamic Linear Models with Rational Expectations

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  • Olivier J. Blanchard

Abstract

This paper characterizes identification in dynamic linear models. It shows that identification restrictions are linear in the structural parameters and are therefore easy to use. Using these restrictions, it analyzes the role of exogenous variables in helping to achieve identification.

Suggested Citation

  • Olivier J. Blanchard, 1982. "Identification in Dynamic Linear Models with Rational Expectations," NBER Technical Working Papers 0024, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberte:0024
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    File URL: http://www.nber.org/papers/t0024.pdf
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    References listed on IDEAS

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    1. Sargent, Thomas J, 1981. "Interpreting Economic Time Series," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 213-248, April.
    2. Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-113, May.
    3. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-1311, July.
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    Cited by:

    1. Blanchard, Olivier J, 1983. "The Production and Inventory Behavior of the American Automobile Industry," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 365-400, June.
    2. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
    3. Fei Tan, 2017. "Interpreting rational expectations econometrics via analytic function approach," Economics Bulletin, AccessEcon, vol. 37(2), pages 1182-1190.

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