Exact rational expectations, cointegration, and reduced rank regression

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Standard

Exact rational expectations, cointegration, and reduced rank regression. / Johansen, Søren; Swensen, Anders Rygh.

I: Journal of Statistical Planning and Inference, Bind 138, Nr. 9, 2008, s. 2738-2748.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S & Swensen, AR 2008, 'Exact rational expectations, cointegration, and reduced rank regression', Journal of Statistical Planning and Inference, bind 138, nr. 9, s. 2738-2748. https://doi.org/10.1016/j.jspi.2008.03.030

APA

Johansen, S., & Swensen, A. R. (2008). Exact rational expectations, cointegration, and reduced rank regression. Journal of Statistical Planning and Inference, 138(9), 2738-2748. https://doi.org/10.1016/j.jspi.2008.03.030

Vancouver

Johansen S, Swensen AR. Exact rational expectations, cointegration, and reduced rank regression. Journal of Statistical Planning and Inference. 2008;138(9):2738-2748. https://doi.org/10.1016/j.jspi.2008.03.030

Author

Johansen, Søren ; Swensen, Anders Rygh. / Exact rational expectations, cointegration, and reduced rank regression. I: Journal of Statistical Planning and Inference. 2008 ; Bind 138, Nr. 9. s. 2738-2748.

Bibtex

@article{84e05d80cb5811dd9473000ea68e967b,
title = "Exact rational expectations, cointegration, and reduced rank regression",
abstract = "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.",
keywords = "Faculty of Social Sciences, cointegrated VAR model",
author = "S{\o}ren Johansen and Swensen, {Anders Rygh}",
year = "2008",
doi = "10.1016/j.jspi.2008.03.030",
language = "English",
volume = "138",
pages = "2738--2748",
journal = "Journal of Statistical Planning and Inference",
issn = "0378-3758",
publisher = "Elsevier BV * North-Holland",
number = "9",

}

RIS

TY - JOUR

T1 - Exact rational expectations, cointegration, and reduced rank regression

AU - Johansen, Søren

AU - Swensen, Anders Rygh

PY - 2008

Y1 - 2008

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.

KW - Faculty of Social Sciences

KW - cointegrated VAR model

U2 - 10.1016/j.jspi.2008.03.030

DO - 10.1016/j.jspi.2008.03.030

M3 - Journal article

VL - 138

SP - 2738

EP - 2748

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

SN - 0378-3758

IS - 9

ER -

ID: 9173325