Spectral utility, Wiener-Hopf techniques, and rational expectations
Purely classical, frequency-domain methods are useful for solving linear- quadratic dynamic rational expectations models. To illustrate this, generic scalar and multiple-variable problems are solved completely in the frequency domain. The procedure, which utilizes Wiener-Hopf methods to maximize the frequency-domain representation of the objective functions, makes ordinarily troublesome second-order conditions transparent, allows infinite-order costs of adjustment, and handles moving average errors easily.
linear-quadratic dynamic rational expectations models
scientific article; zbMATH DE number 4070591
scientific article