More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term

DOI10.1111/j.1368-423X.2004.00136.xzbMath1063.62124OpenAlexW3123861193MaRDI QIDQ3023028

Anders Rygh Swensen, Søren Glud Johansen

Publication date: 4 July 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00136.x

zbMATH Keywords

likelihood ratio testcointegrationlinear restrictionsVAR modelsrestricted constant or linear terms

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30)

Related Items

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models ⋮ Exact rational expectations, cointegration, and reduced rank regression ⋮ Some exact and inexact linear rational expectation models in vector autoregressive models ⋮ The New Keynesian Phillips curve revisited ⋮ Dynamic adjustment cost models with forward‐looking behaviour

Cites Work

• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models