The aim of this paper is the study of the path solutions of a multivariate rational expectations model. We describe several procedures for solving such dynamic systems based on either the adjoint operator method or the Smith form. As a by-product, we derive the dimension of the set of solutions...

We define, in a dynamic framework, the notions of binding functions, images, reflecting sets, indirect identification, indirect information, and encompassing. We study the properties of the notion of encompassing when the true distribution does not necessarily belong to one of the two competing...

It is common for an applied researcher to use filtered data, like seasonally adjusted series, for instance, to estimate the parameters of a dynamic regression model. In this paper, we study the effect of (linear) filters on the distribution of parameters of a dynamic regression model with a...