The Identification Problem for Linear Rational Expectations Models

Piotr Zwiernik and Majid Al-Sadoon

No 1114, Working Papers from Barcelona School of Economics

Abstract: We consider the problem of the identification of stationary solutions to linear rational expectations models from the second moments of observable data. Observational equivalence is characterized and necessary and sufficient conditions are provided for: (i) identification under affine restrictions, (ii) generic identification under affine restrictions of analytically parametrized models, and (iii) local identification under non-linear restrictions. The results strongly resemble the classical theory for VARMA models although significant points of departure are also documented.

Keywords: linear systems; identification; linear rational expectations models; vector autoregressive moving average models (search for similar items in EconPapers)
JEL-codes: C10 C22 C32 (search for similar items in EconPapers)
Date: 2019-09
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ore and nep-upt
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Citations: View citations in EconPapers (7)

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Working Paper: The identification problem for linear rational expectations models (2019)
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