SOLUTIONS OF MULTIVARIATE RATIONAL-EXPECTATIONS MODELS

The aim of this paper is the study of the path solutions of a multivar iate rational expectations model. We describe several procedures for s olving such dynamic systems based on either the adjoint operator metho d or the Smith form. As a by-product, we derive the dimension of the s et of solutions in terms of martingale differences and the dimension o f the set of linear stationary solutions when we restrict ourselves to the linear case. These dimensions are functions of the number of equa tions in the system, of the maximum lead, and of the orders of some ei genvalues of the characteristic equation associated with the system.