A note on Wiener-Kolmogorov prediction formulas for rational expectations models
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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- Thomas J. Sargent, 1977.
"Rational expectations, econometric exogeneity and consumption,"
25, Federal Reserve Bank of Minneapolis.
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"The Demand for Money during Hyperinflation under Rational Expectations: II,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(3), pages 741-58, October.
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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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"Formulating and estimating dynamic linear rational expectations models,"
Journal of Economic Dynamics and Control,
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, 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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"Interpreting economic time series,"
58, Federal Reserve Bank of Minneapolis.
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