Another look at the identification of current rational-expectations models (Q2641059)

Identification of current rational expectations models is a difficult task. Former papers by \textit{M. H. Pesaran} [ibid. 16, 375-398 (1981; Zbl 0488.62100)], \textit{L. L. Wegge} and \textit{M. Feldman} [ibid. 21, 245-254 (1983; Zbl 0508.62096)] and \textit{S. E. Pudney} [J. Econ. Dynam. Control 4, 117-121 (1982)] in the case of rational expectations ``surprise'' models resulted in either non-identifiability and/or identification via covariance restrictions. The present paper gives a unique treatment of the identification problem in current rational expectations models. It is shown that some types of rational expectations models considered as non-identifiable in fact are. Furthermore, criteria for the identification of surprise models are given and an interpretation of the results as standard identification conditions applied to an appropriately augmented system is suggested. Some examples are given in section six of the paper.