Equilibrium with signal extraction from endogenous variables

Thomas J. Sargent

doi:10.1016/0165-1889(91)90012-P

Equilibrium with signal extraction from endogenous variables

Thomas J. Sargent

Research output: Contribution to journal › Article › peer-review

Abstract

This paper shows how to use an apparatus of Marcet and Sargent to compute equilibria of a class of models described by Townsend. An equilibrium is modelled in which agents are extracting signals from observations on endogenous variables. By modelling agent's perceived laws of motion as vector arma processes, the equilibrium of the model can be formulated as the fixed point of an operator that maps perceived laws of motion into statistically optimal estimators of those laws of motion.

Original language	English (US)
Pages (from-to)	245-273
Number of pages	29
Journal	Journal of Economic Dynamics and Control
Volume	15
Issue number	2
DOIs	https://doi.org/10.1016/0165-1889(91)90012-P
State	Published - Apr 1991

ASJC Scopus subject areas

Economics and Econometrics
Control and Optimization
Applied Mathematics

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10.1016/0165-1889(91)90012-P

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abstract = "This paper shows how to use an apparatus of Marcet and Sargent to compute equilibria of a class of models described by Townsend. An equilibrium is modelled in which agents are extracting signals from observations on endogenous variables. By modelling agent's perceived laws of motion as vector arma processes, the equilibrium of the model can be formulated as the fixed point of an operator that maps perceived laws of motion into statistically optimal estimators of those laws of motion.",

author = "Sargent, {Thomas J.}",

note = "Funding Information: *This paper served as the text for my presidential address before the meetings of the Society for Economic Dynamics and Control in Edinburgh, Scotland in June 1989. The research for this paper has been supported by a grant from the National Science Foundation to the National Bureau of Economic Research. I received very helpful comments on an earlier version of this paper from Roger Craine, Lars Peter Hansen, and Kenneth Singleton.",

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N2 - This paper shows how to use an apparatus of Marcet and Sargent to compute equilibria of a class of models described by Townsend. An equilibrium is modelled in which agents are extracting signals from observations on endogenous variables. By modelling agent's perceived laws of motion as vector arma processes, the equilibrium of the model can be formulated as the fixed point of an operator that maps perceived laws of motion into statistically optimal estimators of those laws of motion.

AB - This paper shows how to use an apparatus of Marcet and Sargent to compute equilibria of a class of models described by Townsend. An equilibrium is modelled in which agents are extracting signals from observations on endogenous variables. By modelling agent's perceived laws of motion as vector arma processes, the equilibrium of the model can be formulated as the fixed point of an operator that maps perceived laws of motion into statistically optimal estimators of those laws of motion.

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ER -

Equilibrium with signal extraction from endogenous variables

Abstract

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