Seasonally and approximation errors in rational expectations models

DOI10.1016/0304-4076(93)90003-NzbMath0755.62086OpenAlexW2077009797MaRDI QIDQ1203073

Lars Peter Hansen, Thomas J. Sargent

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90003-n

zbMATH Keywords

seasonalitymartingale difference sequenceapproximation criteriondynamic equilibrium modelrational expectations modelsfrequency domain representationadjusted dataGaussian maximum likelihood estimationperiodic, linear time series modelsunadjusted data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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