Exact rational expectations, cointegration, and reduced rank regression

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

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.
OriginalsprogEngelsk
TidsskriftJournal of Statistical Planning and Inference
Vol/bind138
Udgave nummer9
Sider (fra-til)2738-2748
Antal sider11
ISSN0378-3758
DOI
StatusUdgivet - 2008

ID: 9173325