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Testing the Rational-Expectations Hypothesis: Further Evidence

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  • Bohara, Alok K

Abstract

This article tests the macro rational-expectations hypotheses of rationality and neutrality for quarterly U.S. data. The vector autoregressive representation is derived, and the implied interequation nonlinear restrictions are tested using the Wald statistic. Despite several modifications adopted here, the results confirm the robustness of earlier findings--that is, the test results support rationality, but not neutrality.

Suggested Citation

  • Bohara, Alok K, 1991. "Testing the Rational-Expectations Hypothesis: Further Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 337-340, July.
    • Handle: RePEc:bes:jnlbes:v:9:y:1991:i:3:p:337-40
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    Cited by:

    1. Daniel Heymann & Gabriel Montes-Rojas, 2018. "On model-consistent expectations in macroeconomics," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 64, pages 22-45, January-D.
    2. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
    3. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.

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