Agents, Econometricians and the Identification of Rational Expectations Systems

Abstract

This paper generalises previous results on the identification of rational expectations (r.e.) models, establishing necessary and sufficient conditions on the structural form of static and dynamic models, without specific assumptions on the stochastic processes generating the endogenous and exogenous variables. The approach allows the econometrician to explore the information in predetermined variables not previsible by the agents. Ways of making operational this knowledge are discussed. As a consequence, the set of identification strategies is broadened and a better insight is gained on the cost/benefit of an early selection on the solutions set.