The Linear Systems Approach to Linear Rational Expectations Models

Al-Sadoon, M.

doi:10.1017/s0266466617000160

The Linear Systems Approach to Linear Rational Expectations Models

Al-Sadoon, M.

Authors

Dr Majid Al Sadoon majid.al-sadoon@durham.ac.uk
Associate Professor

Abstract

This paper considers linear rational expectations models from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniqueness of both particular and generic linear rational expectations models. To illustrate the applicability of this approach, the paper characterizes the structure of stationary and cointegrated solutions, including a generalization of Granger’s representation theorem.

Citation

Al-Sadoon, M. (2018). The Linear Systems Approach to Linear Rational Expectations Models. Econometric Theory, 34(03), 628-658. https://doi.org/10.1017/s0266466617000160

Journal Article Type	Article
Acceptance Date	Mar 15, 2017
Online Publication Date	Apr 17, 2017
Publication Date	Jun 1, 2018
Deposit Date	Aug 15, 2018
Publicly Available Date	Aug 16, 2018
Journal	Econometric Theory
Print ISSN	0266-4666
Electronic ISSN	1469-4360
Publisher	Cambridge University Press
Peer Reviewed	Peer Reviewed
Volume	34
Issue	03
Pages	628-658
DOI	https://doi.org/10.1017/s0266466617000160
Public URL	https://durham-repository.worktribe.com/output/1317351

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Copyright Statement
This article has been published in a revised form in Econometric Theory https://doi.org/10.1017/S0266466617000160. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © Cambridge University Press 2017.