Testing Rational Expectations in Vector Autoregressive Models

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.

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Year of publication:	1994-10
Authors:	Johansen, Søren ; Swensen, Anders Rygh
Institutions:	Statistisk Sentralbyrå, Government of Norway
Subject:	VAR-models \| cointegration \| rational expectations

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980854