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

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Author Info
Søren Johansen and Anders Rygh Swensen () (Statistics Norway)

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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.

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Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 348.

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Date of creation: Apr 2003
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Handle: RePEc:ssb:dispap:348

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Keywords: VAR model; cointegration; restricted drift term; rational expectations;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. West, Kenneth D., 1989. "Estimation of linear rational expectations models, in the presence of deterministic terms," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 437-442, November. [Downloadable!] (restricted)
  2. Richard Baillie, 1989. "Econometric tests of rationality and market efficiency," Econometric Reviews, Taylor and Francis Journals, vol. 8(2), pages 151-186. [Downloadable!] (restricted)
  3. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 301-55, July. [Downloadable!] (restricted)
  4. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November. [Downloadable!] (restricted)
  5. Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.
  6. M. R. Wickens, 1989. "Econometric tests of rationality and market efficiency," Econometric Reviews, Taylor and Francis Journals, vol. 8(2), pages 207-212. [Downloadable!] (restricted)
  7. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pereira, Pedro L. Valls, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," Textos para discussão 175, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
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