Solutions of multivariate rational expectations models

Laurence Broze; Christian Gouriéroux; Ariane Szafarz

doi:10.1017/S0266466600009154

Solutions of multivariate rational expectations models

Laurence Broze
, Christian Gouriéroux
, Ariane Szafarz

Research output: Contribution to journal › Article › peer-review

Abstract

The aim of this paper is the study of the path solutions of a multivariate rational expectations model. We describe several procedures for solving such dynamic systems based on either the adjoint operator method or the Smith form. As a by-product, we derive the dimension of the set of solutions in terms of martingale differences and the dimension of the set of linear stationary solutions when we restrict ourselves to the linear case. These dimensions are functions of the number of equations in the system, of the maximum lead, and of the orders of some eigenvalues of the characteristic equation associated with the system.

Original language	English
Pages (from-to)	229-257
Number of pages	29
Journal	Econometric Theory
Volume	11
Issue number	2
DOIs	https://doi.org/10.1017/S0266466600009154
Publication status	Published - 1 Jan 1995
Externally published	Yes

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AB - The aim of this paper is the study of the path solutions of a multivariate rational expectations model. We describe several procedures for solving such dynamic systems based on either the adjoint operator method or the Smith form. As a by-product, we derive the dimension of the set of solutions in terms of martingale differences and the dimension of the set of linear stationary solutions when we restrict ourselves to the linear case. These dimensions are functions of the number of equations in the system, of the maximum lead, and of the orders of some eigenvalues of the characteristic equation associated with the system.

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DO - 10.1017/S0266466600009154

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Solutions of multivariate rational expectations models

Abstract

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