More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms

In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term.

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Year of publication:	2003-04
Authors:	Johansen, Søren ; Swensen, Anders Rygh
Institutions:	Statistisk Sentralbyrå, Government of Norway
Subject:	VAR model \| cointegration \| restricted drift term \| rational expectations

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004980694