Time–varying rational expectations models
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DOI: 10.1016/j.jedc.2019.103731
Abstract: This paper develops a comprehensive theory for rational expectations models with time–varying (random) coefficients. Based on the Multiplicative Ergodic Theorem it develops a “linear algebra” in terms of Lyapunov exponents, defined as the asymptotic growth… read more here.
Keywords: time; models time; expectations models; time varying ... See more keywords