Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

Abstract

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