Cointegration and direct tests of the rational expectations hypothesis

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

研究成果: Article査読

9 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)231-258
ページ数28
ジャーナルEconometric Reviews
13
2
DOI
出版ステータスPublished - 1994 1月 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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