@article{e819b68af1974cd98ddcd1ef6f5461c1,
title = "Cointegration and direct tests of the rational expectations hypothesis",
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.",
keywords = "cointegration, direct tests, generated regressors, orthogonality tests, rational expectations hypothesis",
author = "McKenzie, {C. R.} and Pesaran, {M. Hashem} and Michael McAleer",
note = "Funding Information: The authors would like to thank Michio Hatanaka, David Hendry, Soren Johansen, Les Oxley, Jeremy Smith, Hiro Toda and seminar participants at the Kansai Quantitative Analysis Study Group - Kyoto University, Meiji Gakuin University, Reserve Bank of Australia, Institute of Mathematical Statistics - University of Copenhagen, University of Cambridge, Institute of Economics and Statistics - University of Oxford, University of Melbourne, University of Western Australia, and the 1991 Australasian Meeting of the Econometric Society in Sydney, for helpful comments and discussions. We are also grateful to Kevin Lee for assistance with updating the data. The first author wishes to acknowledge the financial support of the Australian Research Council and a Japanese Government Foreign Research Fellowship at Kyoto University, the second author wishes to thank The Kikawada Foundation and the University of Western Australia for financial support, and the third author wishes to acknowledge the financial support of the ESRC and the Isaac Newton Trust of Trinity College, Cambridge.",
year = "1994",
month = jan,
day = "1",
doi = "10.1080/07474939408800285",
language = "English",
volume = "13",
pages = "231--258",
journal = "Econometric Reviews",
issn = "0747-4938",
publisher = "Taylor and Francis Ltd.",
number = "2",
}