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

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Author Info
Søren Johansen
Anders Rygh Swensen

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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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Publisher 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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  1. 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. [Downloadable!]
    Other versions:
  2. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers 6/2008, Bank of Finland. [Downloadable!]
  3. Juselius, Mikael, 2008. "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(24), pages 1-26. [Downloadable!]
  4. Pål Boug, Ådne Cappelen and Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers 500, Research Department of Statistics Norway. [Downloadable!]
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This page was last updated on 2009-12-24.

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