Exact Rational Expectations, Cointegration, and Reduced Rank Regression
Soren Johansen and
Anders Rygh Swensen
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Anders Rygh Swensen: University of Oslo
No 07-29, Discussion Papers from University of Copenhagen. Department of Economics
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.
Pages: 10 pages
Date: 2007-11
New Economics Papers: this item is included in nep-ecm
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http://www.econ.ku.dk/english/research/publications/wp/2007/0729.pdf/ (application/pdf)
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Working Paper: Exact rational expectations, cointegration, and reduced rank regression (2007) 
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:0729
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