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
Authors:	Johansen, Søren ; Swensen, Anders Rygh
Publisher:	Oslo : Statistics Norway, Research Department
Subject:	VAR-models \| cointegration \| rational expectations.

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Series:	Discussion Papers ; 129
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/192113 [Handle] RePEc:ssb:dispap:129 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011967901