More On Testing Exact Rational Expectations In Cointegrated Vector Autoregressive Models: Restricted Constant And Linear Term  

Oleh:

Johansen, Soren ; Swensen, Anders Rygh

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 2 (Dec. 2004), page 389–397.
Topik: VAR models; Cointegration; Restricted constant or linear term; Rational expectations
Fulltext: 389.pdf (93.96KB)

Isi artikel

In this note we develop the likelihood-ratio test for some linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables, when the constant or linear term is restricted to the cointegration space.

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