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Exact Linear Rational Expectations Models: Specification and Estimation

Staff Report 71 | Published September 1, 1981

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Authors

Lars Peter Hansen

photo of Thomas J. Sargent

Thomas J. Sargent Consultant

Exact Linear Rational Expectations Models: Specification and Estimation

Abstract

This paper describes how to specify and estimate rational expectations models in which there are exact linear relationships among variables and expectations of variables that the econometrician observes.