Empirically feasible solutions and explicit dynamics for rational expectation models

DOI10.1016/0378-3758(95)00037-2zbMath0849.62065OpenAlexW2010946862MaRDI QIDQ1918125

H. D. Vinod

Publication date: 6 November 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00037-2

zbMATH Keywords

identificationrational expectationsstochastic difference equationsmacroeconomic forecastingreduced formsvector autoregressive moving averageisolated markets modelSargent-Wallace model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
• State space modeling of multiple time series
• Modeling Multiple Times Series with Applications
• Econometrics
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