Some exact and inexact linear rational expectation models in vector autoregressive models

DOI10.1016/J.ECONLET.2014.02.015MaRDI QIDQ2452986zbMATH OpenOpenAlexFDO

Authors Anders Rygh Swensen

Publication date 6 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.02.015

zbMATH Keywords

exact rational expectationsinexact rational expectationsmaximum likelihood estimationvector autoregressive models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Exact rational expectations, cointegration, and reduced rank regression
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
• Testing exact rational expectations in cointegrated vector autoregressive models
• The New Keynesian Phillips curve revisited
• VAR-based estimation of Euler equations with an application to New Keynesian pricing

Cited in

(5)

• Empirically feasible solutions and explicit dynamics for rational expectation models
• Vector rational error correction
• Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
• Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
• Exact rational expectations, cointegration, and reduced rank regression

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