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Rational expectations models and the aliasing phenomenon
Lars Peter Hansen ()
Thomas J. Sargent
Staff Report from Federal Reserve Bank of Minneapolis
This paper shows how the cross-equation restrictions delivered by the hypothesis of rational expectations can serve to solve the aliasing identification problem. It is shown how the rational expectations restrictions uniquely identify the parameters of a continuous time model from statistics of discrete time models.
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Persistent link: http://EconPapers.repec.org/RePEc:fip:fedmsr:60
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