A note on Wiener-Kolmogorov prediction formulas for rational expectations models
By: Lars Peter Hansen and Thomas J. Sargent.
Contributors: Sargent, Thomas J.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 69; Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 69.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1981
Place of publication: [Minneapolis, Minn.]
Language: eng
Format: Electronic resource
Subjects: Rational expectations (Economic theory) -- Mathematical models.
Description: "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"--Federal Reserve Bank of Minneapolis web site.
Notes: Title from PDF file as viewed on 10/19/2007.

Includes bibliographical references.

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