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The linear systems approach to linear rational expectations models.

Al-Sadoon, M. (2018) 'The linear systems approach to linear rational expectations models.', Econometric theory., 34 (03). pp. 628-658.


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.

Item Type:Article
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Publisher statement:This article has been published in a revised form in Econometric Theory 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.
Date accepted:15 March 2017
Date deposited:16 August 2018
Date of first online publication:17 April 2017
Date first made open access:16 August 2018

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