Authors
Thomas J. Sargent
New York University and Hoover Institution
A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models
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.
Published in: _Economics Letters_ (Vol. 8, No. 3, 1981, pp. 255-260) https://doi.org/10.1016/0165-1765(81)90075-6.
