The structure of ARMA solutions to a general linear model with rational expectations

DOI10.1016/0165-1889(87)90025-XMaRDI QIDQ1098538zbMATH OpenOpenAlexFDO

Authors George W. Evans

Publication date 1987

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(87)90025-x

zbMATH Keywords

ARMA processesARMA solutionsexplicit parametrizationForward looking linear rational expectations modelsgeneral univariate linear modelnon-uniqueness of solutions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3941216 (Why is no real title available?)
• scientific article; zbMATH DE number 3976178 (Why is no real title available?)
• scientific article; zbMATH DE number 3283404 (Why is no real title available?)
• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
• Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models
• Identification of rational expectations models
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Reduced Forms of Rational Expectations Models
• Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(6)

• scientific article; zbMATH DE number 3876449 (Why is no real title available?)
• Present value models with feedback
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Rational Expectations Models and Bounded Memory
• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• Forward, backward, and symmetric solutions of discrete ARMA representations

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