Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148344 | Journal of Statistical Planning and Inference | 2008 | 11 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Søren Johansen, Anders Rygh Swensen,