Exact rational expectations, cointegration, and reduced rank regression

DOI10.1016/j.jspi.2008.03.030zbMath1141.62069OpenAlexW3125009956MaRDI QIDQ928908

Anders Rygh Swensen, Søren Glud Johansen

Publication date: 11 June 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://curis.ku.dk/ws/files/23346487/0729.pdf

zbMATH Keywords

cointegrated VAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Parametric inference under constraints (62F30)

Related Items (2)

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models ⋮ Some exact and inexact linear rational expectation models in vector autoregressive models

Cites Work

• Testing exact rational expectations in cointegrated vector autoregressive models
• More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
• Econometric tests of rationality and market efficiency
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions

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