Spectral utility, wiener-hopf techniques, and rational expectations

Research output: Contribution to journalArticle

22 Citations (Scopus)

Abstract

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-Hopi methods to maximize the frequency-domain representation of the objective function, makes ordinarily troublesome second-order conditions transparent, allows infinite-order costs of adjustment, and handles moving average errors easily.

Original languageEnglish (US)
Pages (from-to)225-240
Number of pages16
JournalJournal of Economic Dynamics and Control
Volume9
Issue number2
DOIs
StatePublished - Oct 1985

Fingerprint

Wiener-Hopf Technique
Rational Expectations
Frequency Domain
Second-order Conditions
Frequency Domain Method
Moving Average
Costs
Adjustment
Objective function
Maximise
Scalar
Frequency domain
Rational expectations
Model

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

Cite this

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Spectral utility, wiener-hopf techniques, and rational expectations. / Whiteman, Charles H.

In: Journal of Economic Dynamics and Control, Vol. 9, No. 2, 10.1985, p. 225-240.

Research output: Contribution to journalArticle

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