EconPapers    
Economics at your fingertips  
 

On the Relationship Between Determinate and MSV Solutions in Linear RE Models

Bennett McCallum ()

No 297, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper considers the possibility that, in linear rational expectations (RE) models, all determinate (uniquely non-explosive) solutions coincide with the minimum state variable (MSV) solution, which is unique by construction. In univariate specifications of the form y(t) = AE(t)y(t+1) + Cy(t-1) + u(t) that result holds: if a RE solution is unique and non-explosive, then it is the same as the MSV solution. Also, this result holds for multivariate versions if the A and C matrices commute and a certain regularity condition holds. More generally, however, there are models of this form that possess unique non-explosive solutions that differ from their MSV solutions. Examples are provided and a strategy for easily constructing others is outlined.

JEL-codes: C6 (search for similar items in EconPapers)
Date: 2004-07
Note: TWP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Published as McCallum, Bennett T. "On The Relationship Between Determinate And CSV Solutions In Linear Re Models," Economics Letters, 2004, v84(1,Jul), 55-60.

Downloads: (external link)
http://www.nber.org/papers/t0297.pdf (application/pdf)

Related works:
Journal Article: On the relationship between determinate and MSV solutions in linear RE models (2004) Downloads
Working Paper: On the Relationship Between Determinate and MSV Solutions in Linear RE Models Downloads
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:nbr:nberte:0297

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0297

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-05-25
Handle: RePEc:nbr:nberte:0297