英文文献：Exact rational expectations, cointegration, and reduced rank regression
英文文献作者：S?ren Johansen,Anders Rygh Swensen
英文文献摘要：
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.