Title :
On the solution of linear stochastic time-varying rational expectations models
Author :
Carravetta, Francesco
Author_Institution :
Istituto di Analisi dei Sistemi ed Inf., CNR, Rome, Italy
Abstract :
For a general vector rational expectations (RE) model, it is shown that there exists always a solution having the nice property of being the closest, in mean square, to the state motion of the autoregressive model governing the “ideal” behaviour of the economic system. Moreover, a recursive algorithm (based upon Kalman filtering theory) giving the rational expectation term (hence, the solution) and the optimal filtering estimate is presented
Keywords :
Kalman filters; autoregressive processes; economic cybernetics; filtering theory; least mean squares methods; optimisation; statistical analysis; stochastic systems; Kalman filtering theory; autoregressive model; economic system; linear stochastic time-varying rational expectations models; mean square; optimal filtering estimate; recursive algorithm; state motion; vector rational expectations model; Econometrics; Equations; Filtering algorithms; Filtering theory; Kalman filters; Nonlinear filters; Random sequences; Stochastic processes; Vectors; Yttrium;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.574251
