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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- Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
- Hansen, Lars Peter & Sargent, Thomas J., 1980.
"Formulating and estimating dynamic linear rational expectations models,"
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- 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.
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"Interpreting economic time series,"
58, Federal Reserve Bank of Minneapolis.
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"Rational expectations, econometric exogeneity and consumption,"
25, Federal Reserve Bank of Minneapolis.
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- 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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