Title: A note on Wiener-Kolmogorov prediction formulas for rational expectations 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.
Subjects: Mathematical models, Rational expectations (Economic theory)