Exact Rational Expectations, Cointegration, and Reduced Rank Regression

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 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

M3 - Working paper

BT - Exact Rational Expectations, Cointegration, and Reduced Rank Regression

PB - Department of Economics, University of Copenhagen

ER -