Exact Rational Expectations, Cointegration, and Reduced Rank Regression

Publikation: Working paperForskning

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  • 0729

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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
Antal sider10
StatusUdgivet - 2007
Eksternt udgivetJa

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