More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
AbstractIn 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
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 7 (2004)
Issue (Month): 2 (December)
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