
Swensen, Anders Rygh
(2007).
Exact rational expectations and reduced rank vector autoregressive (VAR) models.

Swensen, Anders Rygh
(2007).
Spreads, reduced rank VARmodels and rational expectations.

Swensen, Anders Rygh
(2005).
Finite sample properties of a bootstrap procedure for estimation of rank in reduced rank VARmodels.

Swensen, Anders Rygh
(2004).
Bootstrap algorithms for testing and determining the cointegration rank in VAR models.

Swensen, Anders Rygh
(2004).
Bootstrap algorithms for testing and determining the cointegration rank in VAR models.

Swensen, Anders Rygh
(2002).
A bootstrap algorithm for testing cointegration rank in VAR models.
Show summary
A bootstrap algorithm for a reduced rank VARmodel was analyzed

Swensen, Anders Rygh
(2002).
More on restricted exact rational expectations in cointegrated vector autoregressive models.


Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh
(2011).
The new Keynesian Phillips curve: Does it fit
Norwegian data?
Statistics Norway. Research Department..
ISSN 1892753X.
Show summary
We evaluate the empirical performance of the new Keynesian Phillips curve (NKPC) for a small open
economy using cointegrated vector autoregressive models, likelihood based methods and general
method of moments. Our results indicate that both baseline and hybrid versions of the NKPC as well
as exact and inexact formulations of the rational expectation hypothesis are most likely at odds with
Norwegian data. By way of contrast, we establish a wellspecified dynamic backwardlooking
imperfect competition model (ICM), a model which encompasses the NKPC insample with a major
monetary policy regime shift from exchange rate targeting to inflation targeting. We also demonstrate
that the ICM model forecasts well both postsample and during the recent financial crisis. Our
findings suggest that taking account of forwardlooking behaviour when modelling consumer price
inflation is unnecessary to arrive at a wellspecified model by econometric criteria.
Keywords: The new Keynesian Phillips curve, imperfect competition model, cointegrated vector
autoregressive models (CVAR), equilibrium correction models, likelihood based methods and
general method of moments (GMM)

Johansen, Søren & Swensen, Anders Rygh
(2007).
Exact Rational Expectations, Cointegration, and Reduced Rank Regression.
Økonomisk institutt, Københavns Universitet.
07(29).
Show summary
We interpret the linear relations from exact rational expectations models as restrictions on the parameters of the statistical model called the cointegrated vector autoregressive model for nonstationary variables. We then show how reduced rank regression, Anderson (1951), plays an important

Boug, Pål; Cappelen, Aadne & Swensen, Anders Rygh
(2007).
The New Keynesian Phillips Curve revisited.
Statistisk sentralbyrå.
ISSN 0803074X.

Raknerud, Arvid; Skjerpen, Terje & Swensen, Anders Rygh
(2007).
Forecasting key macroeconomic variables from a large number of predictors: A state space approach.
Statistisk sentralbyrå.
ISSN 0803074X.

Liu, Gang; Skjerpen, Terje; Swensen, Anders Rygh & Telle, Kjetil Elias
(2006).
Unit roots, Polynomial transformations and the environmental Kuznets curve.
Statistics Norway.
ISSN 0803074X.

Boug, Pål; Cappelen, Ådne & Swensen, Anders Rygh
(2006).
The New Keynesian Phillips curve for a small open economy.
Statistics Norway.
ISSN 0803074X.


Johansen, Søren & Swensen, Anders Rygh
(2003).
More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted drift terms.
Matematisk institutt.

Boug, Pål; Cappelen, Aadne & Swensen, Anders Rygh
(2000).
Expectations in Export Price Formations Tests using Cointegrated VAR models.
Statistisk Sentralbyraa.

Skjerpen, Terje & Swensen, Anders Rygh
(2000).
Testing for longrun homogeneity in the Linear Almost Ideal Demand System: An application on Norwegian quarterly data for nondurables.
Statistisk Sentralbyraa.