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Testing exact rational expectations in cointegrated vector autoregressive models
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DOI：10.1016/S0304-4076(99)00004-4.png)
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Abstract
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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 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. (C) 1999 Elsevier Science S.A. All rights reserved.
Keywords:
VAR models
cointegration
rational expectations
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