Common knowledge: The case of linear regression

DOI10.1016/0304-4068(95)00750-4zbMath0860.90018OpenAlexW1998239311WikidataQ126531632 ScholiaQ126531632MaRDI QIDQ1817330

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

matrix algebraasymmetric informationcommon knowledgelinear rational expectations equilibriummultivariate McKelvey-Page theoremorthogonal projections in a Hilbert spacesecurities market model

Mathematics Subject Classification ID

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

Related Items (2)

Aggregation, determinacy, and informational efficiency for a class of economies with asymmetric information ⋮ Information aggregation in a financial market with general signal structure

Cites Work

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

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