Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2023-07-24 DOI:10.1111/jtsa.12705

Søren Johansen, Anders Rygh Swensen

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Abstract

In this article, we consider the cointegrated vector autoregressive model with adjustment parameters $α$ and cointegration vectors $β$ . We discuss estimation of the model under the exact linear rational expectations, when we also have linear restrictions on the adjustment parameters $α$ . In particular we consider the same restriction on all vectors in $α$ and the hypothesis that some vectors in $α$ are known.

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协整向量自回归模型的调整系数与精确理性期望

本文考虑协整向量自回归模型，调整参数为α $$ \alpha $$，协整向量为β $$ \beta $$。我们讨论了当调整参数α $$ \alpha $$有线性限制时，在精确线性理性期望下模型的估计。特别地，我们考虑对α $$ \alpha $$中的所有向量的相同限制，并假设α $$ \alpha $$中的一些向量是已知的。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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