The linear systems approach to linear rational expectations models
Majid Al-Sadoon
Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
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. As applications of this approach, the paper provides results for existence of sequential solutions to block triangular systems and provides an exhaustive description of stationary and unit root solutions, including a generalization of Granger's representation theorem. In addition, the paper provides an innovative numerical solution to the Wiener-Hopf factorization and its generalization.
Keywords: Rational expectations; linear systems; Wiener-Hopf factorization; vector autoregressive processes; block triangular system; stability; cointegration. (search for similar items in EconPapers)
JEL-codes: C32 C51 C62 C63 C65 (search for similar items in EconPapers)
Date: 2016-01
New Economics Papers: this item is included in nep-upt
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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:upf:upfgen:1511
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