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

Søren Johansen and Anders Rygh Swensen ()
Additional contact information
Søren Johansen and Anders Rygh Swensen: Statistics Norway, http://www.ssb.no/english/research/
Authors registered in the RePEc Author Service: Soren Johansen ()

Discussion Papers from Research Department of Statistics Norway

Abstract: 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.

Keywords: VAR model; cointegration; restricted drift term; rational expectations (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written
View list of references View citations in EconPapers

Downloads: (external link)
http://www.ssb.no/publikasjoner/DP/pdf/dp348.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ssb:dispap:348

Access Statistics for this paper

More papers in Discussion Papers from Research Department of Statistics Norway
Address: P.O.Box 8131 Dep, N-0033 Oslo, Norway
Contact information at EDIRC.
Series data maintained by B Mellemstrand ().