Montag, 16. Januar 2017, 16:45 - 17:45 iCal

ISOR Colloquium

"The Linear Systems Approach to Linear Rational Expectations Models"

Speaker: Majid Al-Sadoon (Pompeu Fabra Univ., Barcelona)

Lecture Hall 12 (2nd floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna


This paper considers linear rational expectations models 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. The paper provides two applications of this approach; 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, the paper provides an innovative numerical solution to the Wiener-Hopf factorization and its generalization.


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Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651