Small-sample inference in rational expectations models with persistent data

DOI10.1016/J.ECONLET.2006.10.004zbMATH Open1255.91363OpenAlexW2005691991MaRDI QIDQ1934040FDOQ1934040

Authors: Hong Li 

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.10.004

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zbMATH Keywords

rational expectations modelspersistence of time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cites Work

• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Inference in Linear Time Series Models with some Unit Roots

Cited In (2)

• Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
• Inference from Streaks in Random Outcomes: Experimental Evidence on Beliefs in Regime Shifting and the Law of Small Numbers

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