Preview
This chapter describes the vector first-order linear stochastic difference equation. It is first used to represent information flowing to economic agents, then again to represent competitive equilibria. The vector first-order linear stochastic difference equation is associated with a tidy theory of prediction and a host of procedures for econometric application. Ease of analysis has prompted the adoption of economic specifications that cause competitive equilibria to have representations as vector first-order linear stochastic difference equations. Because it expresses next period's vector of...
Keywords: vector first-order; linear stochastic difference equation; competitive equilibria; state variables; random disturbance; martingale difference sequence; time series
Chapter. 6227 words.
Subjects: History of Economic Thought
Full text: subscription required
How to subscribe Recommend to my Librarian
Users without a subscription are not able to see the full content. Please, subscribe or login to access all content. subscribe or purchase to access all content.
