Instrumental variables procedures for estimating linear 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 Journal of Monetary Economics.
Volume (Year): 9 (1982)
Issue (Month): 3 ()
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- Lars Peter Hansen & Thomas J. Sargent, 1981. "Instrumental variables procedures for estimating linear rational expectations models," Staff Report 70, Federal Reserve Bank of Minneapolis.
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