Looking Backward and Looking Forward

Zhengyuan Gao and Christian Hafner

No 2016014, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method corresponds to the existence of a conditional expectation as an equilibrium process. Agent-based rational behavior of looking backward and looking forward is generalized to a conditional expectation process where the economic system is approximated by a class of models, which can be represented and estimated without information loss. The proposed framework elucidates the range of applications of a general filtering device and is not limited to a particular model class such as rational expectations.

Keywords: Perception; filter; rational expectations; estimation (search for similar items in EconPapers)
JEL-codes: C01 C02 C50 C65 (search for similar items in EconPapers)
Date: 2016-05-11
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Looking Backward and Looking Forward (2019)
Working Paper: Looking Backward and Looking Forward (2019)
Working Paper: Looking backward and looking forward (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2016014

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