Blar i Statistics Norway's Open Research Repository (SNORRe) på forfatter "Johansen, Søren"
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More on testing exact rational expectations in cointegrated vector autoregressive models : restricted drift terms
Johansen, Søren; Swensen, Anders Rygh (Discussion Papers;No. 348, Working paper, 2003)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 ... -
Testing Rational Expectations in Vector Autoregressive Models
Johansen, Søren; Swensen, Anders Rygh (Discussion papers;129, Working paper, 1994-10)Assuming that the solutions of a set of restrictions on the rational expectations of future values can be represented as a vector autoregressive model, we study the implied restrictions on the coefficients. Nonstationary ...