Spectral utility, Wiener-Hopf techniques, and rational expectations (Q1109666)
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scientific article; zbMATH DE number 4070591
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| English | Spectral utility, Wiener-Hopf techniques, and rational expectations |
scientific article; zbMATH DE number 4070591 |
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Spectral utility, Wiener-Hopf techniques, and rational expectations (English)
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1985
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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.
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frequency-domain methods
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linear-quadratic dynamic rational expectations models
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Wiener-Hopf methods
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