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

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  • Søren Johansen
  • 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.

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File URL: http://www.ssb.no/a/publikasjoner/pdf/DP/dp348.pdf
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Bibliographic Info

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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  1. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  2. 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.
  3. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  4. 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.
  5. Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.
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Cited by:
  1. Pereira, Pedro Luiz 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).

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