Testing exact rational expectations in cointegrated vector autoregressive models

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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.
OriginalsprogEngelsk
TidsskriftJournal of Econometrics
Vol/bind93
Udgave nummer1
Sider (fra-til)73-91
Antal sider9
ISSN0304-4076
DOI
StatusUdgivet - 1999

ID: 9968543