{"id":"https://openalex.org/W1980328778","doi":"https://doi.org/10.1111/j.1368-423x.2004.00136.x","title":"More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term","display_name":"More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term","publication_year":2004,"publication_date":"2004-11-25","ids":{"openalex":"https://openalex.org/W1980328778","doi":"https://doi.org/10.1111/j.1368-423x.2004.00136.x","mag":"1980328778"},"language":"en","primary_location":{"id":"doi:10.1111/j.1368-423x.2004.00136.x","doi":"https://doi.org/10.1111/j.1368-423x.2004.00136.x","is_oa":false,"landing_page_url":"https://doi.org/10.1111/j.1368-423x.2004.00136.x","pdf_url":null,"source":{"id":"https://openalex.org/S33519306","display_name":"Econometrics Journal","issn_l":"1368-4221","issn":["1368-4221","1368-423X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","erih-plus","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Econometrics Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=625761","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5033404536","display_name":"S\u00f8ren Johansen","orcid":"https://orcid.org/0000-0002-9285-8236","observed_orcids":["https://orcid.org/0000-0002-9285-8236"]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]},{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"S\u00f8ren Johansen","raw_affiliation_strings":["Institute for Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK\u20102100 K\u00f8benhavn \u00d8, Denmark.\u2028E\u2010mail: sjo@math.ku.dk","Aarhus University - CREATES","University of Copenhagen - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute for Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK\u20102100 K\u00f8benhavn \u00d8, Denmark.\u2028E\u2010mail: sjo@math.ku.dk","institution_ids":["https://openalex.org/I124055696"]},{"raw_affiliation_string":"Aarhus University - CREATES","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"University of Copenhagen - Department of Economics","institution_ids":["https://openalex.org/I124055696"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060495773","display_name":"Anders Rygh Swensen","orcid":"https://orcid.org/0000-0003-4818-4403","observed_orcids":["https://orcid.org/0000-0003-4818-4403"]},"institutions":[{"id":"https://openalex.org/I1321605679","display_name":"Statistics Norway","ror":"https://ror.org/02e50va28","country_code":"NO","type":"government","lineage":["https://openalex.org/I1321605679"]},{"id":"https://openalex.org/I184942183","display_name":"University of Oslo","ror":"https://ror.org/01xtthb56","country_code":"NO","type":"education","lineage":["https://openalex.org/I184942183"]}],"countries":["NO"],"is_corresponding":true,"raw_author_name":"Anders Rygh Swensen","raw_affiliation_strings":["Department of Mathematics, University of Oslo, P.O. Box 1053, N\u20100316 Blindern, Oslo, Norway and Statistics Norway.\u2028E\u2010mail: swensen@math.uio.no","University of Oslo - Department of Mathematics;"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Oslo, P.O. Box 1053, N\u20100316 Blindern, Oslo, Norway and Statistics Norway.\u2028E\u2010mail: swensen@math.uio.no","institution_ids":["https://openalex.org/I1321605679","https://openalex.org/I184942183"]},{"raw_affiliation_string":"University of Oslo - Department of Mathematics;","institution_ids":["https://openalex.org/I184942183"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5060495773"],"corresponding_institution_ids":["https://openalex.org/I1321605679","https://openalex.org/I184942183"],"apc_list":{"value":3384,"currency":"GBP","value_usd":4463},"apc_paid":null,"fwci":2.6807,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.92071748,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"7","issue":"2","first_page":"389","last_page":"397"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9688000082969666,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9688000082969666,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13370","display_name":"Diverse Scientific and Economic Studies","score":0.008100000210106373,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.007499999832361937,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/rational-expectations","display_name":"rational expectations","score":0.7400000095367432},{"id":"https://openalex.org/keywords/cointegrated-vector-autoregressive-model","display_name":"cointegrated vector autoregressive model","score":0.9039999842643738},{"id":"https://openalex.org/keywords/likelihood-ratio-test","display_name":"likelihood ratio test","score":0.8119999766349792},{"id":"https://openalex.org/keywords/linear-restrictions","display_name":"linear restrictions","score":0.8849999904632568}],"concepts":[{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.8560910224914551},{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.8452036380767822},{"id":"https://openalex.org/C96016098","wikidata":"https://www.wikidata.org/wiki/Q853949","display_name":"Rational expectations","level":2,"score":0.7177599668502808},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.660739541053772},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6215177774429321},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.6002901792526245},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5570943355560303},{"id":"https://openalex.org/C194657046","wikidata":"https://www.wikidata.org/wiki/Q7394685","display_name":"STAR model","level":4,"score":0.4474124312400818},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4305964708328247},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3180125653743744},{"id":"https://openalex.org/C24338571","wikidata":"https://www.wikidata.org/wiki/Q2566298","display_name":"Autoregressive integrated moving average","level":3,"score":0.22083613276481628},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.1506117880344391},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.11920475959777832},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.06923738121986389},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1111/j.1368-423x.2004.00136.x","doi":"https://doi.org/10.1111/j.1368-423x.2004.00136.x","is_oa":false,"landing_page_url":"https://doi.org/10.1111/j.1368-423x.2004.00136.x","pdf_url":null,"source":{"id":"https://openalex.org/S33519306","display_name":"Econometrics Journal","issn_l":"1368-4221","issn":["1368-4221","1368-423X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","erih-plus","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Econometrics Journal","raw_type":"journal-article"},{"id":"mag:1980328778","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=625761","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null}],"best_oa_location":{"id":"mag:1980328778","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=625761","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/10","score":0.7200000286102295,"display_name":"Reduced inequalities"}],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320301","display_name":"European Science Foundation","ror":"https://ror.org/04esata81"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":7,"referenced_works":["https://openalex.org/W1964244431","https://openalex.org/W1996195427","https://openalex.org/W2025550846","https://openalex.org/W2063978133","https://openalex.org/W2131733003","https://openalex.org/W3122475708","https://openalex.org/W6789745927"],"related_works":["https://openalex.org/W3123861193","https://openalex.org/W100138944","https://openalex.org/W3178432274","https://openalex.org/W2742150804","https://openalex.org/W2746888904","https://openalex.org/W1463502382","https://openalex.org/W2128388227","https://openalex.org/W3123627631","https://openalex.org/W1576233262","https://openalex.org/W1996298310","https://openalex.org/W2155567999","https://openalex.org/W1998070582","https://openalex.org/W2155537084","https://openalex.org/W2161244273","https://openalex.org/W3203974281","https://openalex.org/W3122156930","https://openalex.org/W2108250187","https://openalex.org/W197729465","https://openalex.org/W3144641501","https://openalex.org/W3123099462"],"abstract_inverted_index":{"In":[0],"this":[1],"note":[2],"we":[3],"develop":[4],"the":[5,27,35],"likelihood\u2010ratio":[6],"test":[7],"for":[8,23],"some":[9],"linear":[10,30],"restrictions":[11],"implied":[12],"by":[13],"rational":[14],"expectations":[15],"hypotheses":[16],"in":[17],"a":[18],"cointegrated":[19],"vector":[20],"autoregressive":[21],"model":[22],"I(1)":[24],"variables,":[25],"when":[26],"constant":[28],"or":[29],"term":[31],"is":[32],"restricted":[33],"to":[34],"cointegration":[36],"space.":[37]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-15T10:00:46.086208","created_date":"2025-10-10T00:00:00"}
