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
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)
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- 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,"
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