The Linear Systems Approach to Linear Rational Expectations Models

Al-Sadoon, M.

Abstract

This paper considers linear rational expectations models from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniqueness of both particular and generic linear rational expectations models. To illustrate the applicability of this approach, the paper characterizes the structure of stationary and cointegrated solutions, including a generalization of Granger’s representation theorem.

Citation

Al-Sadoon, M. (2018). The Linear Systems Approach to Linear Rational Expectations Models. Econometric Theory, 34(03), 628-658. https://doi.org/10.1017/s0266466617000160

• Journal Article Type: Article
• Acceptance Date: Mar 15, 2017
• Online Publication Date: Apr 17, 2017
• Publication Date: Jun 1, 2018
• Deposit Date: Aug 15, 2018
• Publicly Available Date: Aug 16, 2018
• Journal: Econometric Theory
• Print ISSN: 0266-4666
• Electronic ISSN: 1469-4360
• Publisher: Cambridge University Press
• Peer Reviewed: Peer Reviewed
• Volume: 34
• Issue: 03
• Pages: 628-658
• DOI: https://doi.org/10.1017/s0266466617000160
• Public URL: https://durham-repository.worktribe.com/output/1317351