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Solutions of Multivariate Rational Expectations Models

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

The aim of this paper is the study of the path solutions of a multivariate rational expectations model. We describe several procedures for solving such dynamic systems based on either the adjoint operator method or the Smith form. As a by-product, we derive the dimension of the set of solutions in terms of martingale differences and the dimension of the set of linear stationary solutions when we restrict ourselves to the linear case. These dimensions are functions of the number of equations in the system, of the maximum lead, and of the orders of some eigenvalues of the characteristic equation associated with the system. © 1995, 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 2013/701.

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Date of creation: 1995
Publication status: Published in: Econometric Theory (1995) v.11,p.229-257
Handle: RePEc:ulb:ulbeco:2013/701
Note: SCOPUS: ar.j
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