A note on Wiener-Kolmogorov prediction formulas for rational expectations models
Mathematical modelsRational expectations (Economic theory)
"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"--Federal Reserve Bank of Minneapolis web site.
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For young readers
Book data: Open Library