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 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.