Discussion Papers no. 348
Restricted drift terms
More on testing exact rational expectations in cointegrated vector autoregressive models
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.
Om publikasjonen
- Tittel
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More on testing exact rational expectations in cointegrated vector autoregressive models. Restricted drift terms
- Ansvarlige
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Søren Johansen, Anders Rygh Swensen
- Serie og -nummer
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Discussion Papers no. 348
- Utgiver
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Statistics Norway
- Emne
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Discussion Papers
- Antall sider
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13
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
Kontakt
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