Scandinavian Working Papers in Economics

Discussion Papers,
Statistics Norway, Research Department

No 348: More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms

Søren Johansen and Anders Rygh Swensen ()
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Anders Rygh Swensen: 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

JEL-codes: C32 April 2003

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