Testing Rational Expectations in Vector Autoregressive Models

Soren Johansen and Anders Rygh Swensen ()
Additional contact information
Anders Rygh Swensen: Statistics Norway, https://www.ssb.no/en/forskning/ansatte

Discussion Papers from Statistics Norway, Research Department

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.ssb.no/a/publikasjoner/pdf/DP/dp_129.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssb:dispap:129

Access Statistics for this paper

More papers in Discussion Papers from Statistics Norway, Research Department P.O.Box 8131 Dep, N-0033 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by L Maasø ().