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