Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Soren Johansen and Soeren Johansen
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Soeren Johansen: Department of Mathematics, University of Oslo

No 21-07, Discussion Papers from University of Copenhagen. Department of Economics

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: C23 (search for similar items in EconPapers)
Date: 2021-06
New Economics Papers: this item is included in nep-ecm 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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