Randomization test of the rational expectation hypothesis (Q1966004)
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scientific article; zbMATH DE number 1409713
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| English | Randomization test of the rational expectation hypothesis |
scientific article; zbMATH DE number 1409713 |
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Randomization test of the rational expectation hypothesis (English)
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2 March 2000
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The rational expectations hypothesis is usually tested by checking whether a specific parameter in the linear latent model is zero. The author applies the randomization methodology to perform this test. This nonparametric method is chosen since in other studies using this data set it is shown that different distributional assumptions are rejected. To demonstrate the procedure a Monte Carlo experiment is presented.
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rational expectations
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latent variables
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correlation
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randomization test
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0.7878764867782593
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0.7663080096244812
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0.7663080096244812
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0.7563393115997314
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0.7515320181846619
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