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Rational expectations models and the aliasing phenomenon
Abstract: This paper shows how the cross-equation restrictions delivered by the hypothesis of rational expectations can serve to solve the aliasing identification problem. It is shown how the rational expectations restrictions uniquely identify the parameters of a continuous time model from statistics of discrete time models.
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File(s): File format is application/pdf http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=341
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Bibliographic Information
Provider: Federal Reserve Bank of Minneapolis
Part of Series: Staff Report
Publication Date: 1980
Number: 60