Cointegration implications of linear rational expectation models

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dc.contributor Suomen Pankki
dc.contributor.author Juselius, Mikael
dc.date.accessioned 2014-09-22T07:59:23Z
dc.date.available 2014-09-22T07:59:23Z
dc.date.issued 2008
dc.identifier.isbn 978-952-462-428-2
dc.identifier.isbn 978-952-462-429-9
dc.identifier.issn 1456-6184
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/7970
dc.description.abstract This paper derives the cointegration spaces that are implied by linear rational expectations models when data are I(1). The cointegration implications are easy to calculate and can be readily applied to test if the models are consistent with the long-run properties of the data. However, the restrictions on cointegration only form a subset of all the cross-equation restrictions that the models place on data. The approach is particularly useful in separating potentially data-consistent models from the remaining models within a large model family. Moreover, the approach provides useful information on the empirical shock structure of the data. Keywords: rational expectations, cointegration JEL classification numbers: C52
dc.format.extent 24 s.
dc.language.iso eng
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject rationaaliset odotukset
dc.subject mallit
dc.subject SP
dc.subject RP
dc.title Cointegration implications of linear rational expectation models
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-20140807182
dc.subject.jel C52
dc.series.name Bank of Finland Research Discussion Papers
dc.series.year 2008
dc.series.number 6/2008
dc.series.sortingnumber 0006
dc.date.publication 8.2.2008

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