协整向量自回归模型的调整系数与精确理性期望

IF 1.2 4区数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Journal of Time Series Analysis Pub Date : 2023-07-24 DOI:10.1111/jtsa.12705

Søren Johansen, Anders Rygh Swensen

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引用次数: 0

摘要

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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

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Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

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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来源期刊

Journal of Time Series Analysis 数学-数学跨学科应用

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： During the last 30 years Time Series Analysis has become one of the most important and widely used branches of Mathematical Statistics. Its fields of application range from neurophysiology to astrophysics and it covers such well-known areas as economic forecasting, study of biological data, control systems, signal processing and communications and vibrations engineering. The Journal of Time Series Analysis started in 1980, has since become the leading journal in its field, publishing papers on both fundamental theory and applications, as well as review papers dealing with recent advances in major areas of the subject and short communications on theoretical developments. The editorial board consists of many of the world''s leading experts in Time Series Analysis.