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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Web page: http://www.elsevier.com/locate/ecolet
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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- Sargent, Thomas J, 1977.
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