Testing Rational Expectations in Vector Autoregressive Models

Søren Johansen and Anders Rygh Swensen ()
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Søren Johansen and Anders Rygh Swensen: Statistics Norway, http://www.ssb.no/english/research/
Authors registered in the RePEc Author Service: Soren Johansen ()

Discussion Papers from Research Department of Statistics Norway

Abstract: Assuming that the solutions of a set of restrictions on the rational expectations of future values can be represented as a vector autoregressive model, we study the implied restrictions on the coefficients. Nonstationary behavior of the variables is allowed, and the restrictions on the cointegration relationships are spelled out. In some interesting special cases it is shown that the likelihood ratio statistic can easily be computed.

Keywords: VAR-models; cointegration; rational expectations. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 1994-10
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Persistent link: http://EconPapers.repec.org/RePEc:ssb:dispap:129

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