@inproceedings{Johansen2017ExactRE, title={Exact Rational Expectations , Cointegration , and Reduced Rank Regression}, author={S. S. Johansen and Anders Rygh}, year={2017} }

- Published 2017

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… CONTINUE READING

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