More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term

In this note we develop the likelihood-ratio test for some linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables, when the constant or linear term is restricted to the cointegration space. Copyright Royal Economic Socciety 2004

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Year of publication:	2004
Authors:	Johansen, Søren ; Swensen, Anders Rygh
Published in:	Econometrics Journal. - Royal Economic Society - RES. - Vol. 7.2004, 2, p. 389-397
Publisher:	Royal Economic Society - RES

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

Persistent link: https://www.econbiz.de/10005607094