More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
AbstractIn 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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Bibliographic InfoPaper provided by Research Department of Statistics Norway in its series Discussion Papers with number 348.
Date of creation: Apr 2003
Date of revision:
VAR model; cointegration; restricted drift term; rational expectations;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-04 (All new papers)
- NEP-ECM-2003-06-09 (Econometrics)
- NEP-ETS-2003-06-04 (Econometric Time Series)
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.:
- 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.
- Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
- Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
- Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.
- 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.
- Pereira, Pedro Luiz Valls, 2009.
"Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change,"
Textos para discussÃ£o
175, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Marçal, Emerson F. & Valls Pereira, Pedro L. & Abbara, Omar, 2009. "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," MPRA Paper 15624, University Library of Munich, Germany.
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