Problems of Existence and Uniqueness in Nonlinear Rational Expectations Models

Econometrica ◽  
1980 ◽  
Vol 48 (5) ◽  
pp. 1313 ◽  
Author(s):  
Stephen McCafferty ◽  
Robert Driskill
Keyword(s):  
Existence And Uniqueness ◽  
Rational Expectations ◽  
Nonlinear Rational Expectations Models

scholarly journals THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS

2017 ◽  
Vol 34 (3) ◽  
pp. 628-658 ◽  
Author(s):  
Majid M. Al-Sadoon
Keyword(s):  
Linear Systems ◽  
Representation Theorem ◽  
Existence And Uniqueness ◽  
Rational Expectations ◽  
Systems Approach ◽  
Point Of View

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.

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