Johansen’s Reduced Rank Estimator Is GMM
Sign Up to like & getrecommendations! Published in 2018 at "Econometrics"
DOI: 10.3390/econometrics6020026
Abstract: The generalized method of moments (GMM) estimator of the reduced-rank regression model is derived under the assumption of conditional homoscedasticity. It is shown that this GMM estimator is algebraically identical to the maximum likelihood estimator… read more here.
Keywords: reduced rank; johansen reduced; gmm; rank estimator ... See more keywords