Article ID Journal Published Year Pages File Type
1148344 Journal of Statistical Planning and Inference 2008 11 Pages PDF
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, T.W., 1951. Estimating linear restrictions on regression coefficients for multivariate normal distributions. Ann. Math. Statist. 22, 327–351] plays an important role in the calculation of maximum likelihood estimators of the restricted parameters.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
, ,