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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Research output: Working paper/Preprint › Working paper › Research
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- rp21_10
Final published version, 653 KB, PDF document
- Søren Johansen
- Anders Ryghn Swensen, University of Oslo
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 language | English |
|---|---|
| Place of publication | Aarhus |
| Publisher | Institut for Økonomi, Aarhus Universitet |
| Number of pages | 21 |
| Publication status | Published - 1 Jul 2021 |
| Series | CREATES Research Paper |
|---|---|
| Number | 2021-10 |
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