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RDP 2012-08: Estimation and Solution of Models with Expectations and Structural Changes
Equation (A-9)
y
^
t
|
t
=
y
^
t
|
t
−
1
+
[
IE
(
y
t
−
y
^
t
|
t
−
1
)
(
z
t
−
z
^
t
|
t
−
1
)
′
]
[
IE
(
z
t
−
z
^
t
|
t
−
1
)
(
z
t
−
z
^
t
|
t
−
1
)
′
]
−
1
u
t
=
y
^
t
|
t
−
1
+
Σ
t
|
t
−
1
H
′
(
H
Σ
t
|
t
−
1
H
′
+
V
)
−
1
u
t
.
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