Testing rational expectations by the use of overidentifying restrictions
โ Scribed by Richard Startz
- Publisher
- Elsevier Science
- Year
- 1983
- Tongue
- English
- Weight
- 578 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This paper demonstrates, by means of Monte Carlo experimentation, that tests of the expectations hypothesis of the term structure based on instrumental variables regressions of the change in the short rate on the relevant lagged yield spread are prone to severe over-rejection when the term premium i
This paper explains the contradictory findings from long-run and short-run tests of the rational expectations hypothesis of the term structure. Recent research suggests that, while the long-run tests support the theory, the short-run tests do not. Our results which are based on US Treasury bills rat
We investigate the rationality of forecast revisions made by the IMF and the OECD over the past three decades. We find that 60% of real-GDP forecast series and 37% of GDP-deflator forecast series are consistent with rationality. Forecast smoothing is found in real-GDP forecasts.