Exact Rational Expectations, Cointegration, and Reduced Rank Regression
Publikation: Working paper › Forskning
Dokumenter
- 0729
Forlagets udgivne version, 126 KB, PDF-dokument
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
Originalsprog | Engelsk |
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Udgiver | Department of Economics, University of Copenhagen |
Antal sider | 10 |
Status | Udgivet - 2007 |
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