Al-Sadoon, Majid M.Zwiernik, PiotrUniversitat Pompeu Fabra. Departament d'Economia i Empresa2020-05-252020-05-252019-09-10http://hdl.handle.net/10230/44689We 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsThe identification problem for linear rational expectations models<resourceType xmlns="http://datacite.org/schema/kernel-3" resourceTypeGeneral="Other">info:eu-repo/semantics/workingPaper</resourceType><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">identification</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">linear rational expectations models</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">linear systems</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">vector autoregressive moving average models.</subject><subject xmlns="http://datacite.org/schema/kernel-3" subjectScheme="keyword">Statistics, Econometrics and Quantitative Methods</subject><rights xmlns="http://datacite.org/schema/kernel-3">info:eu-repo/semantics/openAccess</rights>