A test for rational expectations when some variables are I(2)

This paper exploits the result that in the case of I(2) processes the precise dating of variables is crucial when empirically testing for cointegration. The data for the latter part of the German hyperinflation episode exhibit I(2) behaviour. We utilize these data to discriminate between alternative expectations hypotheses in the demand for money.

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Year of publication:	1995
Authors:	Michael, P. ; Nobay, A. R. ; Peel, D. A.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 2, p. 42-44
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005435143