Exact Rational Expectations, Cointegration, and Reduced Rank Regression
Research output: Working paper
Documents
- 0729
Final published version, 126 KB, PDF document
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
Original language | English |
---|---|
Publisher | Department of Economics, University of Copenhagen |
Number of pages | 10 |
Publication status | Published - 2007 |
Number of downloads are based on statistics from Google Scholar and www.ku.dk
No data available
ID: 1677741