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More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term

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  • Søren Johansen
  • Anders Rygh Swensen

Abstract

In this note we develop the likelihood-ratio test for some linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables, when the constant or linear term is restricted to the cointegration space. Copyright Royal Economic Socciety 2004

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 7 (2004)
Issue (Month): 2 (December)
Pages: 389-397

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Handle: RePEc:ect:emjrnl:v:7:y:2004:i:2:p:389-397

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Cited by:
  1. Guillén, Osmani Teixeira de Carvalho & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2013. "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 742, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  2. Boug, Pål & Cappelen, Adne & Swensen, Anders Rygh, 2010. "The new Keynesian Phillips curve revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 858-874, May.
  3. Juselius, Mikael, 2008. "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics Discussion Papers 2008-23, Kiel Institute for the World Economy.
  4. Cecilia Bermúdez, 2014. "La racionalidad en la formación de expectativas. Crítica de la hipótesis de expectativas racionales," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 16(30), pages 83-97, January-J.
  5. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers 6/2008, Bank of Finland.
  6. Søren Johansen & Anders Rygh Swensen, 2007. "Exact rational expectations, cointegration, and reduced rank regression," CREATES Research Papers 2007-41, School of Economics and Management, University of Aarhus.
  7. Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers 500, Research Department of Statistics Norway.

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