Small-sample inference in rational expectations models with persistent data

DOI10.1016/J.ECONLET.2006.10.004MaRDI QIDQ1934040zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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