Dennis, Richard; Leitemo, Kai; Söderström, Ulf - Federal Reserve Bank of San Francisco - 2007
is a vector of innovations, and A0, A1, A2, A3, and A4 are
matrices conformable with yt, ut, and "t that contain the … expectational er-
rors, "yt+1 yt+1 Etyt+1, which will be a linear function of the innovations in equilibrium,
"yt+1 = C"t+1, and …(WjA) assumes that the innovations are normally distributed.
To calculate detection error probabilities while accounting for the …