Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247527 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-24
Publisher: 
MDPI, Basel
Abstract: 
Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method corresponds to the existence of a conditional expectation as an equilibrium process. Agent-based rational behavior of looking backward and looking forward is generalized to a conditional expectation process where the economic system is approximated by a class of models, which can be represented and estimated without information loss. The proposed framework elucidates the range of applications of a general filtering device and is not limited to a particular model class such as rational expectations.
Subjects: 
perception
filter
rational expectations
estimation
JEL: 
C01
C02
C50
C65
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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