I: The Linear Dynamic Econometric Model -- 1. Introduction -- 2. Structural, Reduced and Final Form -- 3. Solutions of the Model -- II: Spectral Representation of the Linear Dynamic Model with Constant Coefficients -- 1. Derivation of the Spectral Matrix -- 2. Numerical Approaches -- 3. An...

Dynamic Programming is used to derive the optimal feedback solution to the minimization of a quadratic welfare loss-functional subject to a linear econometric model, when the value of some instrument variables can not be optimized in every model period, but only in single ones. In this way, the...

A recursive formula for computing the exact value of score vectors is proposed, which is more desirable than approximate values in some statistical analyses, for a general form of the linear Gaussian state space model. Unlike most extant methods, our formula calculates all components of the...