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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

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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 Papers
Number2021-10

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