Testing Rational Expectations in Vector Autoregressive Models
AbstractAssuming that the solutions of a set of restrictions on the rational expectations of future values can be represented as a vector autoregressive model, we study the implied restrictions on the coefficients. Nonstationary behavior of the variables is allowed, and the restrictions on the cointegration relationships are spelled out. In some interesting special cases it is shown that the likelihood ratio statistic can easily be computed.
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Bibliographic InfoPaper provided by Research Department of Statistics Norway in its series Discussion Papers with number 129.
Date of creation: Oct 1994
Date of revision:
VAR-models; cointegration; rational expectations.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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