Solutions of multivariate Rational Expectations Models

Laurence Broze (), Christian Gourieroux and Ariane Szafarz

Econometric Theory, 1995, vol. 11, issue 2, 229-257

Abstract: 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.

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Solutions of multivariate rational expectations models (1995)
Working Paper: Solutions of Multivariate Rational Expectations Models (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:11:y:1995:i:02:p:229-257_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().