More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
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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- Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-355, July.
- Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- Baillie, R.T., 1988. "Econometric Tests Of Rationality And Market Efficiency," Papers 8805, Michigan State - Econometrics and Economic Theory.