Testing exact rational expectations in cointegrated vector autoregressive models
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Testing exact rational expectations in cointegrated vector autoregressive models. / Johansen, Søren; Swensen, Anders Rygh.
In: Journal of Econometrics, Vol. 93, No. 1, 1999, p. 73-91.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Testing exact rational expectations in cointegrated vector autoregressive models
AU - Johansen, Søren
AU - Swensen, Anders Rygh
PY - 1999
Y1 - 1999
N2 - This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.
AB - This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.
KW - Faculty of Social Sciences
KW - VAR model
KW - cointegration
U2 - 10.1016/S0304-4076(99)00004-4
DO - 10.1016/S0304-4076(99)00004-4
M3 - Journal article
VL - 93
SP - 73
EP - 91
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 1
ER -
ID: 9968543