Rational Expectations Models and the Aliasing Phenomenon

Creator

• Hansen, Lars Peter
• Sargent, Thomas J.

Series

• Staff report (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 060

Date Created

• 1980-05

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.

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/sr.60

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

Relationships

In Collection:

• Staff Reports

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