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.
| Original language | English |
|---|---|
| Journal | Journal of Time Series Analysis |
| Volume | 45 |
| Issue number | 2 |
| Pages (from-to) | 248-268 |
| Number of pages | 21 |
| ISSN | 0143-9782 |
| DOIs | |
| Publication status | Published - 2024 |
Bibliographical note
Publisher Copyright:© 2023 The Authors. Journal of Time Series Analysis published by John Wiley & Sons Ltd.
Funding
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.
Keywords
- Adjustment coefficients
- cointegrated VAR model
- exact rational expectations
- reduced rank regression
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