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Instrumental variables procedures for estimating linear rational expectations models

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Author Info
Lars Peter Hansen
Thomas J. Sargent

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Abstract

A 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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Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 70.

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Date of creation: 1981
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Handle: RePEc:fip:fedmsr:70

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  1. Kenneth D. West, 1986. "Full Versus Limited Information Estimation of a Rational Expectations Model: Some Numerical Comparisons," NBER Technical Working Papers 0054, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Masao Ogaki & Hyeongwoo Kim, 2009. "Purchasing Power Parity and the Taylor Rule," Working Papers 09-03, Ohio State University, Department of Economics. [Downloadable!]
  3. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Martin S. Eichenbaum, 1990. "Some Empirical Evidence on the Production Level and Production Cost Smoothing Models of Inventory Investment," NBER Working Papers 2523, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Matt Klaeffing, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 228, European Central Bank. [Downloadable!]
  6. Martin Boileau & Michel Normandin, 2001. "Labor Hoarding, Superior Information and Business Cycle Dynamics," Cahiers de recherche CREFE / CREFE Working Papers 129, CREFE, Université du Québec à Montréal. [Downloadable!]
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  7. Martin Boileau & Michel Normandin, 1997. "Aggregate Employment, Real Business Cycles, and Superior Information," Cahiers de recherche CREFE / CREFE Working Papers 55, CREFE, Université du Québec à Montréal. [Downloadable!]
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