Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Søren Johansen; Anders Rygh Swensen

doi:10.1111/jtsa.12705

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Søren Johansen, Anders Rygh Swensen^*

^*Corresponding author af dette arbejde

Økonomisk Institut

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

In this article, we consider the cointegrated vector autoregressive model with adjustment parameters (Formula presented.) and cointegration vectors (Formula presented.). We discuss estimation of the model under the exact linear rational expectations, when we also have linear restrictions on the adjustment parameters (Formula presented.). In particular we consider the same restriction on all vectors in (Formula presented.) and the hypothesis that some vectors in (Formula presented.) are known.

Originalsprog	Engelsk
Tidsskrift	Journal of Time Series Analysis
Vol/bind	45
Udgave nummer	2
Sider (fra-til)	248-268
Antal sider	21
ISSN	0143-9782
DOI	https://doi.org/10.1111/jtsa.12705
Status	Udgivet - 2024

Bibliografisk note

Funding Information:
We thank the main editor, a co‐editor and three referees for valuable comments which improved the article. The first author acknowledges support from Center for Research in Econometric Analysis of Time Series, CREATES, funded by the Danish National Research Foundation.

Publisher Copyright:
© 2023 The Authors. Journal of Time Series Analysis published by John Wiley & Sons Ltd.

Adgang til dokumentet

10.1111/jtsa.12705

Citationsformater

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abstract = "In this article, we consider the cointegrated vector autoregressive model with adjustment parameters (Formula presented.) and cointegration vectors (Formula presented.). We discuss estimation of the model under the exact linear rational expectations, when we also have linear restrictions on the adjustment parameters (Formula presented.). In particular we consider the same restriction on all vectors in (Formula presented.) and the hypothesis that some vectors in (Formula presented.) are known.",

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