Browsing ECO Articles by Author "SWENSEN, Anders Rygh"

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Browsing ECO Articles by Author "SWENSEN, Anders Rygh"

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    Title: Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models  Author(s): JOHANSEN, Soren; SWENSEN, Anders Rygh Date: 1999 Type of Publication: Article Abstract: This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations ...