A note on Wiener-Kolmogorov prediction formulas for rational expectations models

Lars Peter Hansen, Thomas J. Sargent

    Research output: Contribution to journalArticle

    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 languageEnglish (US)
    Pages (from-to)255-260
    Number of pages6
    JournalEconomics Letters
    Volume8
    Issue number3
    DOIs
    StatePublished - 1981

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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