On the Solution of Linear Difference Equations with Rational Expectations

S-Tier
Journal: Review of Economic Studies
Year: 1990
Volume: 57
Issue: 4
Pages: 677-688

Score contribution per author:

8.073 = (α=2.02 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This article offers a new method of solution for linear difference equations with Rational Expectations. We provide a description of the complete set of solutions which is shown to depend on arbitrary martingales. We thus avoid the use of "differences of martingales" as introduced by Gourieroux, Broze, Szafarz, while describing the general solution as a dynamic equation with lower order. At the same time we provide a simple algorithm, based on polynomial divisions, to calculate some basic solutions, namely all ARMA solutions.

Technical Details

RePEc Handle
repec:oup:restud:v:57:y:1990:i:4:p:677-688
Journal Field
General
Author Count
1
Added to Database
2026-01-25