Testing exact rational expectations in cointegrated vector autoregressive models

DOI10.1016/S0304-4076(99)00004-4zbMath0951.62094MaRDI QIDQ1808556

Søren Glud Johansen, Anders Rygh Swensen

Publication date: 10 May 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00004-4

zbMATH Keywords

cointegration; reduced rank regression; VAR model; present value model; rational expectations hypothesis; likelihood-ratio tests

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B84: Economic time series analysis

Related Items

SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES, Dynamic adjustment cost models with forward‐looking behaviour, A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables, Exact rational expectations, cointegration, and reduced rank regression, Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration, The New Keynesian Phillips curve revisited, Some exact and inexact linear rational expectation models in vector autoregressive models, PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY

Cites Work

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• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Econometric tests of rationality and market efficiency
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models