Staff Report 69
A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models
Published September 1, 1981
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.
Download Paper (pdf)