Department of Economics and Business - Universitat Pompeu Fabra

Title:: The identification problem for linear rational expectations models
Authors:: Majid Al-Sadoon and Piotr Zwiernik
Date:: September 2019
Abstract:: 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.
Keywords:: Identification, linear rational expectations models, linear systems, vector autoregressive moving average models.
JEL codes:: C10, C22, C32
Area of Research:: Statistics, Econometrics and Quantitative Methods

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