Exact rational expectations, cointegration, and reduced rank regression

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.

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Year of publication:	2007-12-04
Authors:	Johansen, Søren ; Swensen, Anders Rygh
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Exact rational expectations \| Cointegrated VAR model \| Reduced rank regression

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 pages long
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005114128