Rational Expectations in Stationary Linear Models

DOI10.2307/1911132zbMath0451.90030OpenAlexW2068124198MaRDI QIDQ3898297

Carl A. Futia

Publication date: 1981

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911132

zbMATH Keywords

rational expectationslinear time series modelsstationary linear modelsinformationally asymmetric equilibriamethod of z-transforms

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (12)

VAR analysis, nonfundamental representations, Blaschke matrices ⋮ Solving generalized multivariate linear rational expectations models ⋮ Forecasting the forecasts of others: implications for asset pricing ⋮ Rational inattention in the frequency domain ⋮ A note on Futia (1981)'s non-existence pathology of rational expectations equilibria ⋮ Rational expectations in microeconomic models: An overview ⋮ The dynamics of strategic information flows in stock markets ⋮ Confounding dynamics ⋮ How equilibrium prices reveal information in a time series model with disparately informed, competitive traders ⋮ Restricted perception equilibria and rational expectation equilibrium ⋮ Speculative dynamics ⋮ Expectations equilibria with dispersed forecasts

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