On a Graphical Technique for Evaluating Some Rational Expectations Models

DOI10.2202/1941-1928.1089zbMATH Open1266.91072OpenAlexW2250887523MaRDI QIDQ4928537FDOQ4928537

Authors: Søren Johansen, Anders R. Swensen 

Publication date: 14 June 2013

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

Full work available at URL: https://doi.org/10.2202/1941-1928.1089

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zbMATH Keywords

cointegrationrational expectationsVAR models

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Graphical methods in statistics (62A09) Non-Markovian processes: hypothesis testing (62M07)

Cited In (2)

• Some identification problems in the cointegrated vector autoregressive model
• Title not available (Why is that?)

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