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On the solution of the linear rational expectations model with multiple lags (1999)
Journal Article
Kruiniger, H. (2000). On the solution of the linear rational expectations model with multiple lags. Journal of Economic Dynamics and Control, 24(4), 535-559. https://doi.org/10.1016/S0165-1889%2899%2900006-8

In this paper the symmetric linear rational expectations model from Kollintzas (1985) is generalized by allowing for multiple lags. By using a convenient decomposition of the matrix lag polynomial of the Euler–Lagrange equations that encompasses that... Read More about On the solution of the linear rational expectations model with multiple lags.

The sensitivity of OLS when the variance matrix is (partially) unknown. (1999)
Journal Article
Banerjee, A., & Magnus, J. (1999). The sensitivity of OLS when the variance matrix is (partially) unknown. Journal of Econometrics, 92(2), 295-323. https://doi.org/10.1016/s0304-4076%2898%2900093-1

We consider the standard linear regression model y=Xβ+u with all standard assumptions, except that the variance matrix is assumed to be σ2Ω(θ), where Ω depends on m unknown parameters Full-size image (<1 K). Our interest lies exclusively in the mean...