Exact rational expectations, cointegration, and reduced rank regression

Søren Johansen; Anders Rygh Swensen

doi:10.1016/j.jspi.2008.03.030

Exact rational expectations, cointegration, and reduced rank regression

Søren Johansen, Anders Rygh Swensen

Økonomisk Institut

3 Citationer (Scopus)

Abstract

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.

Originalsprog	Engelsk
Tidsskrift	Journal of Statistical Planning and Inference
Vol/bind	138
Udgave nummer	9
Sider (fra-til)	2738-2748
Antal sider	11
ISSN	0378-3758
DOI	https://doi.org/10.1016/j.jspi.2008.03.030
Status	Udgivet - 2008

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abstract = "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.",

keywords = "Faculty of Social Sciences, cointegrated VAR model",

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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

SN - 0378-3758

VL - 138

SP - 2738

EP - 2748

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 9

ER -

Exact rational expectations, cointegration, and reduced rank regression

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