arXiv 11 Feb 2020 · Econometrics · 1 citations (OpenAlex)
arXiv:2002.04369 · PDF · DOI · OpenAlex · Extracted main text
This paper analyses the number of free parameters and solutions of the structural difference equation obtained from a linear multivariate rational expectations model. First, it is shown that the number of free parameters depends on the structure of the zeros at zero of a certain matrix polynomial of the structural difference equation and the number of inputs of the rational expectations model. Second, the implications of requiring that some components of the endogenous variables be predetermined are analysed. Third, a condition for existence and uniqueness of a causal stationary solution is given.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Olivier J. Blanchard and Charles M. Kahn (1980) The Solution of Linear Difference Models under Rational Expectations | 1.000 | 15 | 4 | 100% |
| 2 | Christopher A. Sims (2001) Solving Linear Rational Expectations Models | 1.000 | 14 | 3 | 100% |
| 3 | Robert G. King and Mark W. Watson (1998) The Solution of Singular Linear Difference Systems under Rational Expectations | 1.000 | 11 | 5 | 100% |
| 4 | Laurence Broze, Christian Gouriéroux, and Ariane Szafarz (1995) Solutions of Multivariate Rational Expectations Models | 0.989 | 32 | 8 | 97% |
| 5 | Thomas A. Lubik and Frank Schorfheide (1889) Computing Sunspot Equilibria in Linear Rational Expectations Models | 0.874 | 8 | 2 | 100% |
| 6 | Ivanka Komunjer and Serena Ng (2011) Dynamic Identification of Dynamic Stochastic General Equilibrium Models | 0.874 | 5 | 2 | 100% |
| 7 | Laurence Broze, Christian Gouriéroux, and Ariane Szafarz (1985) Solutions of Linear Rational Expectations Models | 0.843 | 3 | 3 | 100% |
| 8 | Israel Gohberg, Peter Lancaster, and Leiba Rodman (2006) Invariant Subspaces of Matrices with Applications | 0.737 | 3 | 2 | 100% |
| 9 | Felix R. Gantmacher (1959) The Theory of Matrices, volume 2 | 0.644 | 2 | 2 | 100% |
| 10 | Edward J. Hannan and Manfred Deistler (2012) The Statistical Theory of Linear Systems | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 51 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | The Spectral Approach to Linear Rational Expectations Models | 0.644 | 2 | 2 |