Title: The linear systems approach to linear rational expectations models
Authors: Majid Al Sadoon - Universitat Pompeu Fabra (Spain) [presenting]
Abstract: Linear rational expectations models are considered from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniqueness of both particular and generic linear rational expectations models. Two applications of this approach are provided; the first describes necessary and sufficient condition for exogeneity in linear rational expectations models and the second provides an exhaustive description of stationary and cointegrated solutions, including a generalization of Granger's representation theorem. Finally, an innovative numerical solution to the Wiener-Hopf factorization and its generalization is provided.