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

Creator

• Hansen, Lars Peter
• Sargent, Thomas J.

Series

• Staff report (Federal Reserve Bank of Minneapolis. Research Department)

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.

Related information

• Published in: Economics Letters (Vol. 8, No. 3, 1981, pp. 255-260) https://doi.org/10.1016/0165-1765(81)90075-6.

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/sr.69

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

Des relations

Dans Collection:

• Staff Reports

Dernière modification

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