A note on Wiener-Kolmogorov prediction formulas for rational expectations models |
| |
| Authors: | Lars Peter Hansen Thomas J Sargent |
| |
| Institution: | Carnegie-Mellon University, Pittsburgh, PA 15213, USA;University of Minnesota, Minneapolis, MN 55455, USA;Federal Reserve Bank of Minneapolis, Minneapolis, MN, USA |
| |
| Abstract: | 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. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
