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

Soren Johansen and Anders Rygh Swensen ()
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Anders Rygh Swensen: Statistics Norway, https://www.ssb.no/en/forskning/ansatte

Discussion Papers from Statistics Norway, Research Department

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)
Date: 2003-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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