Johansen’s Reduced Rank Estimator Is GMM
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 under normality developed by Johansen (1988). Thi...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-05-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/6/2/26 |