Arbeitspapier

Testing Rational Expectations in Vector Autoregressive Models

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Assuming that the solutions of a set of restrictions on the rational expectations of future values can be represented as a vector autoregressive model, we study the implied restrictions on the coefficients. Nonstationary behavior of the variables is allowed, and the restrictions on the cointegration relationships are spelled out. In some interesting special cases it is shown that the likelihood ratio statistic can easily be computed.

Sprache
Englisch

Erschienen in
Series: Discussion Papers ; No. 129

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Thema
VAR-models
cointegration
rational expectations.

Ereignis
Geistige Schöpfung
(wer)
Johansen, Søren
Swensen, Anders Rygh
Ereignis
Veröffentlichung
(wer)
Statistics Norway, Research Department
(wo)
Oslo
(wann)
1994

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Johansen, Søren
  • Swensen, Anders Rygh
  • Statistics Norway, Research Department

Entstanden

  • 1994

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