Spectral utility, wiener-hopf techniques, and rational expectations

Charles H. Whiteman

doi:10.1016/0165-1889(85)90005-3

Spectral utility, wiener-hopf techniques, and rational expectations

Charles H. Whiteman

Smeal College of Business

Research output: Contribution to journal › Article › peer-review

26 Scopus citations

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 language	English (US)
Pages (from-to)	225-240
Number of pages	16
Journal	Journal of Economic Dynamics and Control
Volume	9
Issue number	2
DOIs	https://doi.org/10.1016/0165-1889(85)90005-3
State	Published - Oct 1985

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Control and Optimization
Applied Mathematics

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10.1016/0165-1889(85)90005-3

Cite this

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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.",

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AB - 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.

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Spectral utility, wiener-hopf techniques, and rational expectations

Abstract

All Science Journal Classification (ASJC) codes

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