  Under some initial conditions, it is shown that time consistency requirements
prevent rational expectation equilibrium (REE) existence for dynamic stochastic
general equilibrium models induced by consumer heterogeneity, in contrast to
static models. However, one can consider REE-prohibiting initial conditions as
limits of other initial conditions. The REE existence issue then is overcome by
using a limit of economies. This shows that significant care must be taken of
when dealing with rational expectation equilibria.
