A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models

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Creator Series Issue number
  • 069
Date Created
  • 1981-09
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.

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  • Federal Reserve Bank of Minneapolis. Research Department
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  • Federal Reserve Bank of Minneapolis
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