Testing exact rational expectations in cointegrated vector autoregressive models

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Standard

Testing exact rational expectations in cointegrated vector autoregressive models. / Johansen, Søren; Swensen, Anders Rygh.

I: Journal of Econometrics, Bind 93, Nr. 1, 1999, s. 73-91.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S & Swensen, AR 1999, 'Testing exact rational expectations in cointegrated vector autoregressive models', Journal of Econometrics, bind 93, nr. 1, s. 73-91. https://doi.org/10.1016/S0304-4076(99)00004-4

APA

Johansen, S., & Swensen, A. R. (1999). Testing exact rational expectations in cointegrated vector autoregressive models. Journal of Econometrics, 93(1), 73-91. https://doi.org/10.1016/S0304-4076(99)00004-4

Vancouver

Johansen S, Swensen AR. Testing exact rational expectations in cointegrated vector autoregressive models. Journal of Econometrics. 1999;93(1):73-91. https://doi.org/10.1016/S0304-4076(99)00004-4

Author

Johansen, Søren ; Swensen, Anders Rygh. / Testing exact rational expectations in cointegrated vector autoregressive models. I: Journal of Econometrics. 1999 ; Bind 93, Nr. 1. s. 73-91.

Bibtex

@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",

}

RIS

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

VL - 93

SP - 73

EP - 91

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -

ID: 9968543