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Testing Rational Expectations in Vector Autoregressive Models

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  • Søren Johansen
  • Anders Rygh Swensen

    ()
    (Statistics Norway)

Abstract

Assuming 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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File URL: http://www.ssb.no/a/publikasjoner/pdf/DP/dp_129.pdf
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Bibliographic Info

Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 129.

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Date of creation: Oct 1994
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Handle: RePEc:ssb:dispap:129

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Keywords: VAR-models; cointegration; rational expectations.;

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