Exact Rational Expectations, Cointegration, and Reduced Rank Regression
Research output: Working paper › Research
Standard
Exact Rational Expectations, Cointegration, and Reduced Rank Regression. / Johansen, Søren; Swensen, Anders Rygh.
Department of Economics, University of Copenhagen, 2007.Research output: Working paper › Research
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - UNPB
T1 - Exact Rational Expectations, Cointegration, and Reduced Rank Regression
AU - Johansen, Søren
AU - Swensen, Anders Rygh
PY - 2007
Y1 - 2007
N2 - We interpret the linear relations from exact rational expectations models as restrictions on the parameters of the statistical model called the cointegrated vector autoregressive model for non-stationary variables. We then show how reduced rank regression, Anderson (1951), plays an important role in the calculation of maximum likelihood estimation of the restricted parameters
AB - We interpret the linear relations from exact rational expectations models as restrictions on the parameters of the statistical model called the cointegrated vector autoregressive model for non-stationary variables. We then show how reduced rank regression, Anderson (1951), plays an important role in the calculation of maximum likelihood estimation of the restricted parameters
M3 - Working paper
BT - Exact Rational Expectations, Cointegration, and Reduced Rank Regression
PB - Department of Economics, University of Copenhagen
ER -
ID: 1677741