Equilibrium with signal extraction from endogenous variables

Thomas Sargent

    Research output: Contribution to journalArticle

    Abstract

    This paper shows how to use an apparatus of Marcet and Sargent to compute equilibria of a class of models described by Townsend. An equilibrium is modelled in which agents are extracting signals from observations on endogenous variables. By modelling agent's perceived laws of motion as vector arma processes, the equilibrium of the model can be formulated as the fixed point of an operator that maps perceived laws of motion into statistically optimal estimators of those laws of motion.

    Original languageEnglish (US)
    Pages (from-to)245-273
    Number of pages29
    JournalJournal of Economic Dynamics and Control
    Volume15
    Issue number2
    DOIs
    StatePublished - 1991

    Fingerprint

    Signal Extraction
    Motion
    ARMA Process
    Fixed point
    Estimator
    Operator
    Modeling
    Model
    Signal extraction
    Endogenous variables

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Control and Optimization

    Cite this

    Equilibrium with signal extraction from endogenous variables. / Sargent, Thomas.

    In: Journal of Economic Dynamics and Control, Vol. 15, No. 2, 1991, p. 245-273.

    Research output: Contribution to journalArticle

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