Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/192330
Authors: 
Johansen, Søren
Swensen, Anders Rygh
Year of Publication: 
2003
Series/Report no.: 
Discussion Papers No. 348
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.
Subjects: 
VAR model
cointegration
restricted drift term
rational expectations
JEL: 
C32
Document Type: 
Working Paper

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