Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Søren Johansen and Anders Rygh Swensen

Journal of Time Series Analysis, 2024, vol. 45, issue 2, 248-268

Abstract: In this article, we consider the cointegrated vector autoregressive model with adjustment parameters α$$ \alpha $$ and cointegration vectors β$$ \beta $$. We discuss estimation of the model under the exact linear rational expectations, when we also have linear restrictions on the adjustment parameters α$$ \alpha $$. In particular we consider the same restriction on all vectors in α$$ \alpha $$ and the hypothesis that some vectors in α$$ \alpha $$ are known.

Date: 2024
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https://doi.org/10.1111/jtsa.12705

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:45:y:2024:i:2:p:248-268

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