A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
George Evans and
Seppo Honkapohja
The Review of Economic Studies, 1986, vol. 53, issue 2, 227-239
Abstract:
Linear rational expectations models with expectations of future endogenous variables have multiple equilibria. For a scalar model with k forward expectational lags and l backward lags, this paper characterizes the complete set of ARMA solutions. It is shown that the maximum degree solutions are ARMA (k + l, k), that the solutions of maximum degree are obtained directly from the characteristic polynomial but have arbitrary MA parameters, and that all lower degree ARMA solutions are obtained by deleting common factors in the AR and MA lag polynomials. The results are applied to several macroeconomic examples.
Date: 1986
References: Add references at CitEc
Citations: View citations in EconPapers (18)
Downloads: (external link)
http://hdl.handle.net/10.2307/2297648 (application/pdf)
Access to full text is restricted to subscribers.
Related works:
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:oup:restud:v:53:y:1986:i:2:p:227-239.
Access Statistics for this article
The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman
More articles in The Review of Economic Studies from Review of Economic Studies Ltd
Bibliographic data for series maintained by Oxford University Press ().