Instrumental variables procedures for estimating linear rational expectations models
Abstract: 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.
File(s): File format is application/pdf http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=351
Provider: Federal Reserve Bank of Minneapolis
Part of Series: Staff Report
Publication Date: 1981