Every week, we select a recently published Open Access article to feature. This week’s article is from the Journal of Time Series Analysis and considers cointegrated vector autoregressive models with adjustment parameters  and cointegration vectors. 

The article’s abstract is given below, with the full article available to read here.

Johansen, S. and Rygh Swensen, A. (2023), Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. J. Time Ser. Anal.. https://doi.org/10.1111/jtsa.12705

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.