Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Søren Johansen, Anders Ryghn Swensen

Research output: Working paper/Preprint Working paperResearch

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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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages21
Publication statusPublished - 1 Jul 2021
SeriesCREATES Research Paper
Number2021-10

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