Exact rational expectations, cointegration, and reduced rank regression
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Exact rational expectations, cointegration, and reduced rank regression. / Johansen, Søren; Swensen, Anders Rygh.
In: Journal of Statistical Planning and Inference, Vol. 138, No. 9, 2008, p. 2738-2748.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Exact rational expectations, cointegration, and reduced rank regression
AU - Johansen, Søren
AU - Swensen, Anders Rygh
PY - 2008
Y1 - 2008
N2 - 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.
AB - 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.
KW - Faculty of Social Sciences
KW - cointegrated VAR model
U2 - 10.1016/j.jspi.2008.03.030
DO - 10.1016/j.jspi.2008.03.030
M3 - Journal article
VL - 138
SP - 2738
EP - 2748
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
SN - 0378-3758
IS - 9
ER -
ID: 9173325