Download This PaperAdjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
21 Pages Posted: 8 Jul 2021
Date Written: June 28, 2021
Abstract
In cointegrated vector autoregressive models exact linear rational expectation relations can imply restrictions on the adjustment parameters. We show how such restrictions can be tested, in particular when the restrictions imply weak exogeneity of some variables.
Keywords: Abstract, Exact rational expectations; Cointegrated VAR model; Reduced rank regression; Adjustment coefficients
JEL Classification: C23
Suggested Citation: Suggested Citation
Johansen, Soren and Swensen, Anders Rygh, Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models (June 28, 2021). Available at SSRN: https://ssrn.com/abstract=3875330 or http://dx.doi.org/10.2139/ssrn.3875330
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