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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

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  • Søren Johansen

    (University of Copenhagen and CREATES)

  • Anders Ryghn Swensen

    (University of Oslo)

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.

Suggested Citation

  • Søren Johansen & Anders Ryghn Swensen, 2021. "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," CREATES Research Papers 2021-10, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2021-10
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    References listed on IDEAS

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    More about this item

    Keywords

    Abstract; Exact rational expectations; Cointegrated VAR model; Reduced rank regression; Adjustment coefficients;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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