On the Solution of Linear Difference Equations with Rational Expectations.
This article offers a new method of solution for linear difference equations with rational expectations. The author provides a description of the complete set of solutions, which is shown to depend on arbitrary martingales. The author thus avoids the use of "differences of martingales," as introduced by C. Gourieroux, L. Broze, and A. Szafarz, while describing the general solution as a dynamic equation with lower order. At the same time, the author provides a simple algorithm, based on polynomial divisions, to calculate some basic solution, namely all ARMA solutions. Copyright 1990 by The Review of Economic Studies Limited.
Year of publication: |
1990
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Authors: | d'Autume, Antoine |
Published in: |
Review of Economic Studies. - Wiley Blackwell, ISSN 0034-6527. - Vol. 57.1990, 4, p. 677-88
|
Publisher: |
Wiley Blackwell |
Saved in:
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