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Solutions of multivariate RationalExpectations Models

Published online by Cambridge University Press:  11 February 2009

Laurence Broze ,
Christian Gouriéroux  and
Ariane Szafarz
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Abstract

The aim of this paper is the study of the pathsolutions of a multivariate rational expectationsmodel. We describe several procedures for solvingsuch dynamic systems based on either the adjointoperator method or the Smith form. As a by-product,we derive the dimension of the set of solutions interms of martingale differences and the dimension ofthe set of linear stationary solutions when werestrict ourselves to the linear case. Thesedimensions are functions of the number of equationsin the system, of the maximum lead, and of theorders of some eigenvalues of the characteristicequation associated with the system.

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Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 2 , February 1995 , pp. 229 - 257
Copyright
Copyright © Cambridge University Press 1995

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