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Open loop time consistency for linear rational expectations models

โœ Scribed by Andrew P Blake


Book ID
116420742
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
99 KB
Volume
82
Category
Article
ISSN
0165-1765

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โœ Peter A. Zadrozny ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 189 KB

## R &IID(0, K ) is an m;1 vector of reduced-form disturbances. The paper derives an analytical eigenvalue method for computing the autoregressive, moving-average, and exogenous parts of the reduced-form solution of a model in the above form. The method routinely handles expectations conditional o