STATIONARY ARMA SOLUTIONS TO LINEAR RATIONAL EXPECTATIONS MODELS WITH STATIONARY ARMA EXOGENOUS PROCESSES

Autor:	Sergio De Nardis
Rok vydání:	1996
Předmět:	General linear model Method of undetermined coefficients Statistics::Theory Rational expectations Economics and Econometrics Property (philosophy) Process (engineering) Econometrics Economics Characteristic equation Applied mathematics
Zdroj:	The Manchester School. 64:38-53
ISSN:	1467-9957 1463-6786
Popis:	This paper considers a general linear model with rational expectations and a stationary ARMA exogenous process. It discusses the conditions for existence and stationarity of completely determined ARMA solutions. When the number of stable roots of the characteristic equation is equal to the number of lagged endogenous variables, there is a unique, determined stationary ARMA solution having the property to exist and to be real in any case. When the model has multiple stationary solutions, it is possible to identify a particular solution having the same property. To avoid the case of no stationary solutions, additional restrictions are needed. Copyright 1996 by Blackwell Publishers Ltd and The Victoria University of Manchester
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1a0cf3dc81b5057539868eb1aeb3ac8d https://doi.org/10.1111/j.1467-9957.1996.tb00881.x Zobrazit plný text záznamu Plný text