Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Soren Johansen and Anders Ryghn Swensen ()
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Anders Ryghn Swensen: University of Oslo, Postal: P.O. Box 1053, 0316 Blindern Oslo, Norway

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

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 (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 21
Date: 2021-07-01
New Economics Papers: this item is included in nep-ets and nep-ore
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Citations: View citations in EconPapers (1)

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Working Paper: Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models (2021)
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