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...

In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.

In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.

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...

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Collective agreements have played a central role in the system of wage formation in Norway for more than fifty years. Although the degree of coordination achieved has been variable, pattern wage bargaining has been a mainstay of the system. We investigate the degree of invariance in wage...

In the mid-eighties econometric forecasts and ex post simulations of private consumption in Norway began to show clear signs of "structural breakdown" .This evidence lends itself to two interpretations, distinct in their implications for econometric modelling of aggregate consumption. On the one...

Inflation targeting makes the Central Bank's conditional inflation forecast the operational target for monetary policy. Successful inflation targeting requires knowing the transmission mechanisms to inflation from shocks as well as instruments. The econometric implications are that the...