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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

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  • Søren Johansen
  • Anders Rygh Swensen

Abstract

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

Suggested Citation

  • Søren Johansen & Anders Rygh Swensen, 2024. "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(2), pages 248-268, March.
    • Handle: RePEc:bla:jtsera:v:45:y:2024:i:2:p:248-268
    DOI: 10.1111/jtsa.12705
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    References listed on IDEAS

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    5. Boug, Pål & Cappelen, Adne & Swensen, Anders Rygh, 2010. "The new Keynesian Phillips curve revisited," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 858-874, May.
    6. Søren Johansen & Anders Rygh Swensen, 2004. "More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 389-397, December.
    7. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November.
    8. Swensen, Anders Rygh, 2014. "Some exact and inexact linear rational expectation models in vector autoregressive models," Economics Letters, Elsevier, vol. 123(2), pages 216-219.
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