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Testing exact rational expectations in cointegrated vector autoregressive models
Søren Johansen
, Anders Rygh Swensen
Department of Economics
Department of Mathematical Sciences
32
Citations (Scopus)
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Dive into the research topics of 'Testing exact rational expectations in cointegrated vector autoregressive models'. Together they form a unique fingerprint.
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Business & Economics
Vector Autoregressive Model
100%
Rational Expectations
98%
Reduced Rank Regression
78%
Testing
76%
Present Value Model
63%
Expectations Hypothesis
58%
Maximum Likelihood Estimator
54%
Coefficients
33%