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Rational Expectations Models and the Aliasing Phenomenon

Staff Report 60 | Published May 1, 1980

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Authors

Thomas J. Sargent New York University and Hoover Institution
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.