Exact rational expectations, cointegration, and reduced rank regression
Research output: Contribution to journal › Journal article › Research › peer-review
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 |
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Journal | Journal of Statistical Planning and Inference |
Volume | 138 |
Issue number | 9 |
Pages (from-to) | 2738-2748 |
Number of pages | 11 |
ISSN | 0378-3758 |
DOIs | |
Publication status | Published - 2008 |
- Faculty of Social Sciences - cointegrated VAR model
Research areas
ID: 9173325