Aarhus University Seal / Aarhus Universitets segl

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Research output: Working paperResearch


  • rp21_10

    Final published version, 653 KB, PDF document

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

See relations at Aarhus University Citationformats

ID: 219065463