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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

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  • Soeren Johansen
  • Anders Rygh Swensen

    (Department of Mathematics, 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

  • Soeren Johansen & Anders Rygh Swensen, 2021. "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," Discussion Papers 21-07, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:2107
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    File URL: https://www.economics.ku.dk/research/publications/wp/dp-2020/2005.pdf
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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:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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