Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Søren Johansen, Anders Ryghn Swensen

Publikation: Working paper/Preprint Working paperForskning

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Abstract

In cointegrated vector autoregressive models exact linear rational expectation relations can imply restrictions on the adjustment parameters. We show how such restrictions can be tested, in particular when the restrictions imply weak exogeneity of some variables.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider21
StatusUdgivet - 1 jul. 2021
NavnCREATES Research Paper
Nummer2021-10

Emneord

  • Abstract
  • Exact rational expectations
  • Cointegrated VAR model
  • Reduced rank regression
  • Adjustment coefficients

Citationsformater