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.

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.

A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...