| dc.contributor.author | Johansen, Søren | |
| dc.contributor.author | Swensen, Anders Rygh | |
| dc.date.accessioned | 2011-11-26T10:23:23Z | |
| dc.date.available | 2011-11-26T10:23:23Z | |
| dc.date.issued | 2003 | |
| dc.identifier.issn | 1892-753x | |
| dc.identifier.uri | http://hdl.handle.net/11250/180445 | |
| dc.description.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 | no_NO |
| dc.language.iso | eng | no_NO |
| dc.publisher | Statistics Norway, Research Department | no_NO |
| dc.relation.ispartofseries | Discussion Papers;No. 348 | |
| dc.subject | Rational expectations | no_NO |
| dc.subject | Vector Autoregressive Models (VAR model) | no_NO |
| dc.subject | JEL classification: C32 | no_NO |
| dc.title | More on testing exact rational expectations in cointegrated vector autoregressive models : restricted drift terms | no_NO |
| dc.type | Working paper | no_NO |
| dc.subject.nsi | VDP::Mathematics and natural science: 400::Mathematics: 410::Statistics: 412 | no_NO |
| dc.source.pagenumber | 13 s. | no_NO |
