Spectral utility, wiener-hopf techniques, and rational expectations

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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
Publication statusPublished - Oct 1985

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All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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