Instrumental variables procedures for estimating linear rational expectations models

Lars Hansen and Thomas Sargent

No 70, Staff Report from Federal Reserve Bank of Minneapolis

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.

Date: 1981
New Economics Papers: this item is included in nep-ets
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Journal Article: Instrumental variables procedures for estimating linear rational expectations models (1982)
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