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Solutions of Dynamic Linear Rational Expectations Models

Listed author(s):
  • Laurence Broze
  • Christian Gouriéroux
  • Ariane Szafarz

Linear rational expectations models generally have a large number of solutions. It is thus important to describe them exhaustively in order to study their properties and subsequently estimate which solution best fits the data. In this paper, a global approach is suggested allowing a simultaneous treatment of all possible cases. The fundamental concepts are the revision processes appearing in the procedure of updating expectations. It isfound that the set of solutions is completely described by using a limitednumber of these processes. We show how the method may be applied to determine the set of stationary solutions admitting an infinite moving-average representation. We give a natural parametrization of this set and discuss the exact number of independent parameters. © 1985, Cambridge University Press. All rights reserved.

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Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/675.

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Date of creation: 1985
Publication status: Published in: Econometric Theory (1985) v.1 n° 3,p.341-368
Handle: RePEc:ulb:ulbeco:2013/675
Note: SCOPUS: ar.j
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