A test for rational expectations when some variables are I(2)

P. Michael, Bob Nobay and David Peel

Applied Economics Letters, 1995, vol. 2, issue 2, 42-44

Abstract: This paper exploits the result that in the case of I(2) processes the precise dating of variables is crucial when empirically testing for cointegration. The data for the latter part of the German hyperinflation episode exhibit I(2) behaviour. We utilize these data to discriminate between alternative expectations hypotheses in the demand for money.

Date: 1995
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DOI: 10.1080/135048595357672

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