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dc.contributor.authorJOHANSEN, Soren
dc.contributor.authorSWENSEN, Anders Rygh
dc.date.accessioned2011-04-20T14:03:45Z
dc.date.available2011-04-20T14:03:45Z
dc.date.issued1999
dc.identifier.citationJournal of Econometrics, 1999, 93, 1, 73-91
dc.identifier.issn0304-4076
dc.identifier.urihttp://hdl.handle.net/1814/16770
dc.description.abstractThis 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 only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.
dc.titleTesting Exact Rational Expectations in Cointegrated Vector Autoregressive Models
dc.typeArticle
dc.identifier.doi10.1016/S0304-4076(99)00004-4
dc.neeo.contributorJOHANSEN|Soren|aut|
dc.neeo.contributorSWENSEN|Anders Rygh|aut|
dc.identifier.volume93
dc.identifier.startpage73
dc.identifier.endpage91
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dc.identifier.issue1


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