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Register a new userThe Identification Problem for Linear Rational Expectations Models
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Added by
Piotr Zwiernik
Publication date
2019
fields
Mathematical Statistics
and research's language is
English
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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.
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