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Testing Rational Expectations in Vector Autoregressive Models

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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.

Suggested Citation

  • Søren Johansen & Anders Rygh Swensen, 1994. "Testing Rational Expectations in Vector Autoregressive Models," Discussion Papers 129, Statistics Norway, Research Department.
    • Handle: RePEc:ssb:dispap:129
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    File URL: https://www.ssb.no/a/publikasjoner/pdf/DP/dp_129.pdf
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    More about this item

    Keywords

    VAR-models; cointegration; rational expectations.;
    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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