On the Solution of Linear Difference Equations with Rational Expectations

Antoine d'Autume

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This article offers a new method of solution for linear difference equations with Rational Expectations. We provide a description of the complete set of solutions which is shown to depend on arbitrary martingales. We thus avoid the use of "differences of martingales", as introduced by Gourieroux, Broze, Szafarz, while describing the general solution as a dynamic equation with lower order. At the same time we provide a simple algorithm, based on polynomial divisions, to calculate some basic solutions, namely all ARMA solutions.

Keywords: linear difference equations; Rational Expectations (search for similar items in EconPapers)
Date: 1990-10
References: Add references at CitEc
Citations:

Published in Review of Economic Studies, 1990, 57 (4), pp.677-688

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: On the Solution of Linear Difference Equations with Rational Expectations (1990)
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:hal:cesptp:halshs-00430048

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().