Exact rational expectations, cointegration, and reduced rank regression

Research output: Contribution to journalJournal articleResearchpeer-review

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.
Original languageEnglish
JournalJournal of Statistical Planning and Inference
Volume138
Issue number9
Pages (from-to)2738-2748
Number of pages11
ISSN0378-3758
DOIs
Publication statusPublished - 2008

ID: 9173325