Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/192113
Authors: 
Johansen, Søren
Swensen, Anders Rygh
Year of Publication: 
1994
Series/Report no.: 
Discussion Papers No. 129
Abstract: 
Assuming that the solutions of a set of restrictions on the rational expectations of future values can be represented as a vector autoregressive model, we study the implied restrictions on the coefficients. Nonstationary behavior of the variables is allowed, and the restrictions on the cointegration relationships are spelled out. In some interesting special cases it is shown that the likelihood ratio statistic can easily be computed.
Subjects: 
VAR-models
cointegration
rational expectations.
JEL: 
C32
Document Type: 
Working Paper
Document Version: 
Digitized Version

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