Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

DOI10.1111/jtsa.12705OpenAlexW3178432274MaRDI QIDQ6194052

Søren Glud Johansen, Anders Rygh Swensen

Publication date: 14 February 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12705

zbMATH Keywords

adjustment coefficientsreduced rank regressioncointegrated VAR modelexact rational expectations

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Exact rational expectations, cointegration, and reduced rank regression
• The New Keynesian Phillips curve revisited
• Testing exact rational expectations in cointegrated vector autoregressive models
• Some exact and inexact linear rational expectation models in vector autoregressive models
• More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
• Exogeneity
• Multimodality of the likelihood in the bivariate seemingly unrelated regressions model
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS
• Inflation Dynamics in a Small Open Economy
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

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