August 1981 | Article
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.
Journal: Economics Letters|Volume: 8|Issue Number: 3|Pages: 255-260|Tags: Econometrics|Export BibTeX >
@article{hansensargent:1981note,
title={A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models},
author={Hansen, L. P. and Sargent, T. J.},
journal={Economics Letters},
volume={8},
number={3},
pages={255–260},
year={1981},
publisher={Elsevier}
}