Exact Rational Expectations, Cointegration, and Reduced Rank Regression

Publikation: Working paper › Forskning

Standard

Exact Rational Expectations, Cointegration, and Reduced Rank Regression. / Johansen, Søren; Swensen, Anders Rygh.

Department of Economics, University of Copenhagen, 2007.

Publikation: Working paper › Forskning

Harvard

Johansen, S & Swensen, AR 2007 'Exact Rational Expectations, Cointegration, and Reduced Rank Regression' Department of Economics, University of Copenhagen.

APA

Johansen, S., & Swensen, A. R. (2007). Exact Rational Expectations, Cointegration, and Reduced Rank Regression. Department of Economics, University of Copenhagen.

Vancouver

Johansen S, Swensen AR. Exact Rational Expectations, Cointegration, and Reduced Rank Regression. Department of Economics, University of Copenhagen. 2007.

Author

Johansen, Søren ; Swensen, Anders Rygh. / Exact Rational Expectations, Cointegration, and Reduced Rank Regression. Department of Economics, University of Copenhagen, 2007.

Bibtex

@techreport{3b9acc80a1b711dcbee902004c4f4f50,
title = "Exact Rational Expectations, Cointegration, and Reduced Rank Regression",
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",
author = "S{\o}ren Johansen and Swensen, {Anders Rygh}",
year = "2007",
language = "English",
publisher = "Department of Economics, University of Copenhagen",
address = "Denmark",
type = "WorkingPaper",
institution = "Department of Economics, University of Copenhagen",

}

RIS

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 -

ID: 1677741