More on testing exact rational expectations in cointegrated vector autoregressive models : restricted drift terms
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Date
2003Metadata
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- Discussion Papers [1002]
Abstract
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 on the deterministic drift term.
Keywords: VAR model, cointegration, restricted drift term, rational expectations