Backward and forward closed solutions of multivariate models
Economic models that incorporate expectations require non causal time series theory. We provide a general method useful to solve in closed form any forward linear rational expectations multivariate model. An anticipative VARMA model is likely to explain a behavioral relation were a tentative future guides the today action. The work develops general conditions to get the unique stationary closed solution, backward or forward, so extends over the well known accepted results on causal invertible multivariate models and shows that to incorporate non causal models one should rely on Complex Analysis.
|Date of creation:||Jul 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:hal:journl:hal-00287137 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24139. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.