### 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.

Original language | English (US) |
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Pages (from-to) | 255-260 |

Number of pages | 6 |

Journal | Economics Letters |

Volume | 8 |

Issue number | 3 |

DOIs | |

State | Published - 1981 |

### ASJC Scopus subject areas

- Finance
- Economics and Econometrics

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## Cite this

Hansen, L. P., & Sargent, T. J. (1981). A note on Wiener-Kolmogorov prediction formulas for rational expectations models.

*Economics Letters*,*8*(3), 255-260. https://doi.org/10.1016/0165-1765(81)90075-6