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- W2077765059 abstract "Abstract This paper shows how to represent a vector autoregression (VAR) in terms of the eigenvalues and eigenvectors of its companion matrix. This representation is used to impose the exact restrictions implied by the expectations hypothesis on the VAR for short and long term interest rates and to calculate the restricted maximum likelihood estimates. The first difference representation for short and long rates used by Sargent (1979) is shown to be inconsistent with the expectations hypothesis, but a VAR with two unit roots is constructed that satisfies the exact restrictions and leads to similar restricted estimates." @default.
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- W2077765059 date "2001-12-01" @default.
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- W2077765059 title "Estimation of a rational expectations model of the term structure" @default.
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- W2077765059 doi "https://doi.org/10.1016/s0927-5398(01)00041-x" @default.
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