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, 1976.
"The demand for money during hyperinflations under rational expectations: II,"
60, Federal Reserve Bank of Minneapolis.
- Sargent, Thomas J, 1977. "The Demand for Money During Hyperinflations under Rational Expectations: I," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(1), pages 59-82, February.
- Salemi, Michael K & Sargent, Thomas J, 1979. "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.
- Lars Peter Hansen & Thomas J. Sargent, 1979.
"Formulating and estimating dynamic linear rational expectations models,"
127, Federal Reserve Bank of Minneapolis.
- Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
- Sargent, Thomas J, 1981.
"Interpreting Economic Time Series,"
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University of Chicago Press, vol. 89(2), pages 213-48, April.
- 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.
- Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, 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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