CREATES

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Research output: Working paper/Preprint Working paperResearch

Standard

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. / Johansen, Søren; Swensen, Anders Ryghn.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2021.

Research output: Working paper/Preprint Working paperResearch

Harvard

APA

Johansen, S., & Swensen, A. R. (2021). Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2021-10

CBE

MLA

Johansen, Søren and Anders Ryghn Swensen Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2021-10). 2021., 21 p.

Vancouver

Johansen S, Swensen AR. Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2021 Jul 1.

Author

Johansen, Søren ; Swensen, Anders Ryghn. / Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. Aarhus : Institut for Økonomi, Aarhus Universitet, 2021. (CREATES Research Papers; No. 2021-10).

Bibtex

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title = "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models",
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.",
keywords = "Abstract, Exact rational expectations, Cointegrated VAR model, Reduced rank regression, Adjustment coefficients",
author = "S{\o}ren Johansen and Swensen, {Anders Ryghn}",
year = "2021",
month = jul,
day = "1",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2021-10",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

AU - Johansen, Søren

AU - Swensen, Anders Ryghn

PY - 2021/7/1

Y1 - 2021/7/1

N2 - 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.

AB - 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.

KW - Abstract

KW - Exact rational expectations

KW - Cointegrated VAR model

KW - Reduced rank regression

KW - Adjustment coefficients

M3 - Working paper

T3 - CREATES Research Papers

BT - Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -