Instrumental variables procedures for estimating linear rational expectations models

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.

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Year of publication:	1981
Authors:	Hansen, Lars Peter ; Sargent, Thomas J.
Institutions:	Federal Reserve Bank of Minneapolis

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Extent:	application/pdf
Series:	Staff Report.
Type of publication:	Book / Working Paper
Notes:	Number 70
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005367604