Juselius, Mikael (contributor) - 2008
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR … (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational … expectation systems, while allowing for non-stationary data. The NK-model is tested on quarterly U.S. and Euro area time series …