The Solution of Singular Linear Difference Systems under Rational Expectations
研究允许矩阵A奇异时，一阶线性理性预期宏观经济模型存在唯一稳定解的条件，并用特征值分解方法刻画解的结构，特别处理了无限特征值带来的新规范变量。
Many linear rational expectations macroeconomic models can be cast in the first-order form, AE[subscript t]y[subscript t + 1] = By[subscript t] + CE[subscript t]x[subscript]t, if the matrix A is permitted to be singular. The authors show that there is a unique stable solution under two requirements: (1) the determinantal polynomial Az - B is not zero for some value of z, and (2) a rank condition. The unique solution is characterized using a familiar approach: a canonical variables transformation separating dynamics associated with stable and unstable eigenvalues. In singular models, however, there are new canonical variables associated with infinite eigenvalues. These arise from nonexpectational behavioral relations or dynamic identities present in the singular linear difference system. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.