Title: The identification problem for linear rational expectations models
Authors: Majid Al Sadoon - Universitat Pompeu Fabra (Spain) [presenting]
Piotr Zwiernik - Universitat Pompeu Fabra (Spain)
Abstract: The problem considered is that of the identification of stationary linear rational expectations models from the second moments of observable data. Observationally equivalence is characterized and necessary and sufficient conditions are provided for: (i) identification under affine restrictions, (ii) generic identification under affine restrictions of analytically parametrized models, and (iii) local identification under general non-linear parametrization or non-linear constraints. The results strongly resemble the classical theory for VARMAX models although significant points of departure are also documented.