The identification problem for linear rational expectations models
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- dc.contributor.author Al-Sadoon, Majid M.
- dc.contributor.author Zwiernik, Piotr
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:26:46Z
- dc.date.available 2020-05-25T09:26:46Z
- dc.date.issued 2019-09-10
- dc.date.modified 2020-05-25T09:26:05Z
- dc.description.abstract We consider the problem of the identification of stationary solutions to linear rational expectations models from the second moments of observable data. Observational equivalence is characterized and necessary and sufficient conditions are provided for: (i) identification under affine restrictions, (ii) generic identification under affine restrictions of analytically parametrized models, and (iii) local identification under non-linear restrictions. The results strongly resemble the classical theory for VARMA models although significant points of departure are also documented.
- dc.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1669
- dc.identifier.citation
- dc.identifier.uri http://hdl.handle.net/10230/44689
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1669
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword identification
- dc.subject.keyword linear rational expectations models
- dc.subject.keyword linear systems
- dc.subject.keyword vector autoregressive moving average models.
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title The identification problem for linear rational expectations models
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper