A TEST FOR RATIONAL-EXPECTATIONS WHEN SOME VARIABLES ARE I(2)

Authors
MICHAEL P NOBAY AR PEEL DA
Citation
P. Michael et al., A TEST FOR RATIONAL-EXPECTATIONS WHEN SOME VARIABLES ARE I(2), Applied economics letters, 2(2), 1995, pp. 42-44
Citations number
11
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
2
Issue
2
Year of publication
1995
Pages
42 - 44
Database
ISI
SICI code
1350-4851(1995)2:2<42:ATFRWS>2.0.ZU;2-U
Abstract
This paper exploits the result that in the case of I(2) processes the precise dating of variables is crucial when empirically testing for co integration. The data for the latter part of the German hyperinflation episode exhibit I(2) behaviour. We utilize these data to discriminate between alternative expectations hypotheses in the demand for money.