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Instrumental variables procedures for estimating linear rational expectations models

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  • Lars Peter Hansen
  • Thomas J. Sargent

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.

Suggested Citation

  • Lars Peter Hansen & Thomas J. Sargent, . "Instrumental variables procedures for estimating linear rational expectations models," Staff Report, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:70
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    Cited by:

    1. Boileau, Martin & Normandin, Michel, 2002. "Aggregate employment, real business cycles, and superior information," Journal of Monetary Economics, Elsevier, vol. 49(3), pages 495-520, April.
    2. West, Kenneth D., 1986. "Full-versus limited-information estimation of a rational-expectations model: Some numerical comparisons," Journal of Econometrics, Elsevier, vol. 33(3), pages 367-385, December.
    3. Eichenbaum, Martin, 1989. "Some Empirical Evidence on the Production Level and Production Cost Smoothing Models of Inventory Investment," American Economic Review, American Economic Association, vol. 79(4), pages 853-864, September.
    4. Boileau, Martin & Normandin, Michel, 2003. "Labor hoarding, superior information, and business cycle dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 397-418, November.
    5. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 228, European Central Bank.
    6. Daniel Himarios, 1986. "Administered interest rates and the demand for money in Greece under rational expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 122(1), pages 173-188, March.
    7. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.

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