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.

MoreLess

Year of publication:	2003
Authors:	Johansen, Søren ; Swensen, Anders Rygh
Publisher:	Oslo : Statistics Norway, Research Department
Subject:	VAR model \| cointegration \| restricted drift term \| rational expectations

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Discussion Papers ; 348
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/192330 [Handle] RePEc:ssb:dispap:348 [RePEc]
Classification:	C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011968118