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Open AccessArticle

Looking Backward and Looking Forward

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Center for Operations Research and Econometrics (CORE), Universite Catholique de Louvain, Voie du Roman Pays 34, B-1348 Louvain-la-Neuve, Belgium
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Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA) and Center for Operations Research and Econometrics (CORE), Universite Catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium
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Author to whom correspondence should be addressed.
Econometrics 2019, 7(2), 27; https://doi.org/10.3390/econometrics7020027
Received: 31 July 2018 / Revised: 18 April 2019 / Accepted: 5 June 2019 / Published: 14 June 2019
(This article belongs to the Special Issue Filtering)
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. View Full-Text
Keywords: perception; filter; rational expectations; estimation perception; filter; rational expectations; estimation
MDPI and ACS Style

Gao, Z.; Hafner, C.M. Looking Backward and Looking Forward. Econometrics 2019, 7, 27.

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