Exact rational expectations, cointegration, and reduced rank regression

Publikation: Working paperForskning

Standard

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

Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

Publikation: Working paperForskning

Harvard

APA

CBE

Johansen S, Swensen AR. 2007. Exact rational expectations, cointegration, and reduced rank regression. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Johansen, Søren og Anders Rygh Swensen Exact rational expectations, cointegration, and reduced rank regression. Aarhus: Institut for Økonomi, Aarhus Universitet. 2007., 11 s.

Vancouver

Johansen S, Swensen AR. Exact rational expectations, cointegration, and reduced rank regression. Aarhus: Institut for Økonomi, Aarhus Universitet. 2007.

Author

Johansen, Søren ; Swensen, Anders Rygh. / Exact rational expectations, cointegration, and reduced rank regression. Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

Bibtex

@techreport{ec428ed0e44a11dc9afb000ea68e967b,
title = "Exact rational expectations, cointegration, and reduced rank regression",
abstract = "We interpret the linear relations from exact rational expectations models asrestrictions on the parameters of the statistical model called the cointegratedvector autoregressive model for non-stationary variables. We then show howreduced rank regression, Anderson (1951), plays an important role in thecalculation of maximum likelihood estimation of the restricted parameters.",
keywords = "Exact rational expectations, Cointegrated VAR model, Reduced rank regression",
author = "S{\o}ren Johansen and Swensen, {Anders Rygh}",
year = "2007",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

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

AU - Johansen, Søren

AU - Swensen, Anders Rygh

PY - 2007

Y1 - 2007

N2 - We interpret the linear relations from exact rational expectations models asrestrictions on the parameters of the statistical model called the cointegratedvector autoregressive model for non-stationary variables. We then show howreduced rank regression, Anderson (1951), plays an important role in thecalculation of maximum likelihood estimation of the restricted parameters.

AB - We interpret the linear relations from exact rational expectations models asrestrictions on the parameters of the statistical model called the cointegratedvector autoregressive model for non-stationary variables. We then show howreduced rank regression, Anderson (1951), plays an important role in thecalculation of maximum likelihood estimation of the restricted parameters.

KW - Exact rational expectations, Cointegrated VAR model, Reduced rank regression

M3 - Working paper

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

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -