Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation

Stochastic Processes and Filtering Theory

1970 • 7,520 citations

Applied Optimal Control

2018 • 5,869 citations

Rational Expectations and the Theory of Price Movements

1961 • 5,518 citations

Optimal Filtering

1982 • 3,342 citations

Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

1978 • 1,361 citations

Formulating and estimating dynamic linear rational expectations models

1980 • 845 citations

Market Fundamentals versus Price-Level Bubbles: The First Tests

1980 • 539 citations

Convergence analysis of parametric identification methods

1978 • 449 citations

Rational Expectations and the Dynamics of Hyperinflation

1973 • 432 citations

Time series analysis, forecasting and control

1972 • 351 citations

Journal of Economic Dynamics and Control

2013 • 346 citations

Rational Expectations and Macroeconomic Stabilization Policy: An Overview

1980 • 253 citations

Time Series Analysis Forecasting and Control

1972 • 229 citations

Uniqueness of the price level in monetary growth models with rational expectations

1974 • 95 citations

Prediction error identification methods for stationary stochastic processes

1976 • 84 citations

Linear system identification from nonstationary cross-sectional data

1979 • 61 citations

On the equivalence of solutions in rational expectations models

1983 • 39 citations

Variance-minimizing monetary policies with lagged price adjustment and rational expectations

1983 • 7 citations

A Note on Optimal Smoothing for Time Varying Coefficient Problems

1976 • 5 citations