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A test for rational expectations when some variables are I(2)

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  • P. Michael
  • A. R. Nobay
  • D. A. Peel

Abstract

This paper exploits the result that in the case of I(2) processes the precise dating of variables is crucial when empirically testing for cointegration. The data for the latter part of the German hyperinflation episode exhibit I(2) behaviour. We utilize these data to discriminate between alternative expectations hypotheses in the demand for money.

Suggested Citation

  • P. Michael & A. R. Nobay & D. A. Peel, 1995. "A test for rational expectations when some variables are I(2)," Applied Economics Letters, Taylor & Francis Journals, vol. 2(2), pages 42-44.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:2:p:42-44
    DOI: 10.1080/135048595357672
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