Backward and forward closed solutions of multivariate models

Jorge Ludlow

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Anticipative Times Series; anticipative VARMA; anticipative model; backward looking; forward looking; linear processes; linear filter; non casual model. (search for similar items in EconPapers)
JEL-codes: C22 C32 C50 (search for similar items in EconPapers)
Date: 2010-07
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:24139

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