The Linear Systems Approach to Linear Rational Expectations Models

Majid Al-Sadoon

No 875, Working Papers from Barcelona School of Economics

Abstract: This paper considers linear rational expectations models from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniqueness of both particular and generic linear rational expectations models. To illustrate the applicability of this approach, the paper characterizes the structure of stationary and cointegrated solutions, including a generalization of Granger's representation theorem.

Keywords: rational expectations; cointegration; linear systems; Wiener-Hopf factorization; vector autoregressive processes; exogeneity; stationarity (search for similar items in EconPapers)
JEL-codes: C32 C51 C62 C63 C65 (search for similar items in EconPapers)
Date: 2016-02
New Economics Papers: this item is included in nep-ecm and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS (2018)
Working Paper: The linear systems approach to linear rational expectations models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:875

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