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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- Salemi, Michael K & Sargent, Thomas J, 1979.
"The Demand for Money during Hyperinflation under Rational Expectations: II,"
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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.
- Sargent, Thomas J, 1972. "Rational Expectations and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 4(1), pages 74-97, Part I Fe.
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Elsevier, vol. 2(1), pages 7-46, May.
- Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
- Sargent, Thomas J, 1978.
"Rational Expectations, Econometric Exogeneity, and Consumption,"
Journal of Political Economy,
University of Chicago Press, vol. 86(4), pages 673-700, August.
- Thomas J. Sargent, 1977. "Rational expectations, econometric exogeneity and consumption," Staff Report 25, Federal Reserve Bank of Minneapolis.
- Sargent, Thomas J, 1981.
"Interpreting Economic Time Series,"
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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.
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