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

DOI10.1016/0165-1889(87)90025-XzbMATH Open0637.62109OpenAlexW2006054522MaRDI QIDQ1098538FDOQ1098538

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

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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)

Cites Work

• Title not available (Why is that?)
• The Solution of Linear Difference Models under Rational Expectations
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
• Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples
• Identification of rational expectations models
• Title not available (Why is that?)
• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Title not available (Why is that?)
• Reduced Forms of Rational Expectations Models

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• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Rational Expectations Models and Bounded Memory
• Forward, backward, and symmetric solutions of discrete ARMA representations
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• A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models
• Present value models with feedback

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