A note on Wiener-Kolmogorov prediction formulas for rational expectations models
AbstractA prediction formula for geometrically declining sums of future forcing variables is derived for models in which the forcing variables are generated by a vector autoregressive-moving average process. This formula is useful in deducing and characterizing cross-equation restrictions implied by linear rational expectations models.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 8 (1981)
Issue (Month): 3 ()
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Other versions of this item:
- Lars Peter Hansen & Thomas J. Sargent, 1981. "A note on Wiener-Kolmogorov prediction formulas for rational expectations models," Staff Report 69, Federal Reserve Bank of Minneapolis.
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- Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
- Hansen, Lars Peter & Sargent, Thomas J., 1980.
"Formulating and estimating dynamic linear rational expectations models,"
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- Thomas J. Sargent, 1976. "The demand for money during hyperinflations under rational expectations: II," Working Papers 60, Federal Reserve Bank of Minneapolis.
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