Invertible and non-invertible information sets in linear rational expectations models

DOI10.1016/J.JEDC.2010.11.002MaRDI QIDQ621272zbMATH OpenOpenAlexFDO

Authors Liam Graham, Brad J. C. Baxter, Stephen E. Wright

Publication date 2 February 2011

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

Full work available at URL https://doi.org/10.1016/j.jedc.2010.11.002

zbMATH Keywords

dynamic stochastic general equilibriumfundamental versus nonfundamental time series representationsimperfect informationinvertibilityKalman filterrational expectations

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

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• Indicator variables for optimal policy under asymmetric information
• Recursive Competitive Equilibrium: The Case of Homogeneous Households
• Reputational and nonreputational policies under partial information
• Solutions to linear rational expectations models: a compact exposition
• The signal extraction problem revisited: a note on its impact on a model of monetary policy
• The Solution of Linear Difference Models under Rational Expectations
• VAR analysis, nonfundamental representations, Blaschke matrices

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(3)

• Consumer misperceptions, uncertain fundamentals, and the business cycle
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