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, 1980.
"Interpreting economic time series,"
58, Federal Reserve Bank of Minneapolis.
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127, Federal Reserve Bank of Minneapolis.
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- Thomas J. Sargent, 1976.
"The demand for money during hyperinflations under rational expectations: II,"
60, 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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