Randomization test of the rational expectation hypothesis

MaRDI QIDQ1966004zbMATH OpenFDO

Authors Martin Kukuk

Publication date 2 March 2000

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

correlationlatent variablesrandomization testrational expectations

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

Review text

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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Cited in

(3)

• Rationality testing under asymmetric loss
• A Nonparametric Test of the Life-Cycle Rational Expections Hypothesis
• Rationalizing rational expectations: characterizations and tests

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