The identification problem for linear rational expectations models

Majid Al-Sadoon and Piotr Zwiernik ()
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Piotr Zwiernik: https://www.upf.edu/web/econ/faculty/-/asset_publisher/6aWmmXf28uXT/persona/id/3421209

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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: Identification; linear rational expectations models; linear systems; 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-ore
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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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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1669

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