Exact Rational Expectations, Cointegration, and Reduced Rank Regression

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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
PublisherDepartment of Economics, University of Copenhagen
Number of pages10
Publication statusPublished - 2007

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