Exact rational expectations, cointegration, and reduced rank regression

Publikation: Working paperForskning

  • Institut for Økonomi
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.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider11
StatusUdgivet - 2007

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