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

Soren Johansen and Anders Rygh Swensen

Econometrics Journal, 2004, vol. 7, issue 2, 389-397

Abstract: 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

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:7:y:2004:i:2:p:389-397

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