Testing exact rational expectations in cointegrated vector autoregressive models

Søren Johansen; Anders Rygh Swensen

doi:10.1016/S0304-4076(99)00004-4

Testing exact rational expectations in cointegrated vector autoregressive models

32 Citations (Scopus)

Abstract

This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.

Original language	English
Journal	Journal of Econometrics
Volume	93
Issue number	1
Pages (from-to)	73-91
Number of pages	9
ISSN	0304-4076
DOIs	https://doi.org/10.1016/S0304-4076(99)00004-4
Publication status	Published - 1999

Keywords

Faculty of Social Sciences
VAR model
cointegration

Access to Document

10.1016/S0304-4076(99)00004-4

Cite this

@article{ee0a2ff0ed2911ddbf70000ea68e967b,

title = "Testing exact rational expectations in cointegrated vector autoregressive models",

abstract = "This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.",

keywords = "Faculty of Social Sciences, VAR model, cointegration",

author = "S{\o}ren Johansen and Swensen, {Anders Rygh}",

year = "1999",

doi = "10.1016/S0304-4076(99)00004-4",

language = "English",

volume = "93",

pages = "73--91",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Testing exact rational expectations in cointegrated vector autoregressive models

AU - Johansen, Søren

AU - Swensen, Anders Rygh

PY - 1999

Y1 - 1999

N2 - This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.

AB - This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.

KW - Faculty of Social Sciences

KW - VAR model

KW - cointegration

U2 - 10.1016/S0304-4076(99)00004-4

DO - 10.1016/S0304-4076(99)00004-4

M3 - Journal article

SN - 0304-4076

VL - 93

SP - 73

EP - 91

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1

ER -

Testing exact rational expectations in cointegrated vector autoregressive models

Abstract

Keywords

Access to Document

Fingerprint

Cite this