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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- Sargent, Thomas J, 1978.
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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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127, Federal Reserve Bank of Minneapolis.
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58, Federal Reserve Bank of Minneapolis.
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