Testing the restrictions implied by the rational expectations hypothesis

DOI10.1016/0304-4076(81)90117-2zbMath0449.62074OpenAlexW2035395670MaRDI QIDQ1147483

S. H. Smith

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90117-2

zbMATH Keywords

likelihood ratioWald testrational expectations hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Identification, information and instruments in linear econometric models with rational expectations, Testing the restrictions implied by the rational expectations hypothesis, Identification of rational expectations models, Computing Wald criteria for nested hypotheses, Econometric tests of rationality and market efficiency, Annealing evolutionary stochastic approximation Monte Carlo for global optimization, Blockwise empirical entropy tests for time series regressions, Simulated Stochastic Approximation Annealing for Global Optimization With a Square-Root Cooling Schedule, Annealing evolutionary stochastic approximation Monte Carlo for global optimization

Cites Work

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• Testing the restrictions implied by the rational expectations hypothesis
• The Efficient Estimation of Econometric Models with Rational Expectations
• Econometric Implications of the Rational Expectations Hypothesis
• Testing of the Rational Expectations Hypothesis
• Rational Expectations and the Estimation of Econometric Models
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Estimation and Control of a Macroeconomic Model with Rational Expectations
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large