Cointegration and direct tests of the rational expectations hypothesis

C. R. McKenzie, M. Hashem Pesaran, Michael McAleer

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

The paper is concerned with direct tests of the rational expectations hypothesis (REH) in the presence of stationary and non—stationary variables. Alternative methods of converting qualitative survey responses into quantitative expectations series are examined. Testing of orthogonality and the issue of generated regressors for models estimated by two step methods are re-evaluated when the variable to be explained is stationary. A methodological approach for testing the REH is provided for models using.

Original languageEnglish
Pages (from-to)231-258
Number of pages28
JournalEconometric Reviews
Volume13
Issue number2
DOIs
Publication statusPublished - 1994 Jan 1
Externally publishedYes

Keywords

  • cointegration
  • direct tests
  • generated regressors
  • orthogonality tests
  • rational expectations hypothesis

ASJC Scopus subject areas

  • Economics and Econometrics

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