Common knowledge: The case of linear regression

DOI10.1016/0304-4068(95)00750-4MaRDI QIDQ1817330zbMATH OpenOpenAlexWikidataFDO

Authors Lars Tyge Nielsen

Publication date 1 December 1996

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4068(95)00750-4

zbMATH Keywords

asymmetric informationcommon knowledgematrix algebralinear rational expectations equilibriummultivariate McKelvey-Page theoremorthogonal projections in a Hilbert spacesecurities market model

Mathematics Subject Classification ID

Economics of information (91B44) General equilibrium theory (91B50)

Recommendations

• Common Knowledge of a Multivariate Aggregate Statistic
• On the uniqueness of fully informative rational expectations equilibria
• Common Knowledge of an Aggregate of Expectations
• Common Knowledge, Consensus, and Aggregate Information

Cites work

• A characterization of the distributions that imply mean-variance utility functions
• Agreeing to disagree
• Common Knowledge of a Multivariate Aggregate Statistic
• Common Knowledge of an Aggregate of Expectations
• Common Knowledge, Consensus, and Aggregate Information
• Common knowledge, communication, and convergence of beliefs
• Don't Bet on it: Contingent Agreements with Asymmetric Information
• Further results on the informational efficiency of competitive stock markets
• Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis
• On the linearity of regression
• On the theory of elliptically contoured distributions

Cited in

(3)

• Aggregation, determinacy, and informational efficiency for a class of economies with asymmetric information
• Information aggregation in a financial market with general signal structure
• Common knowledge equilibrium of Boolean securities in distributed information market

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