Discussion Papers no. 129
Testing rational expectations in vector autoregressive models
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.
Om publikasjonen
- Tittel
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Testing rational expectations in vector autoregressive models
- Ansvarlige
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Søren Johansen, Anders Rygh Swensen
- Serie og -nummer
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Discussion Papers no. 129
- Utgiver
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Statistics Norway, Research Department
- Emne
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Discussion Papers
- Antall sider
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16 bl.
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
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