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Expectations hypotheses tests at Long Horizons

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  • Barbara Rossi

Abstract

Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. When variables are highly persistent, commonly used test statistics may lead to overrejections in small samples. Copyright Royal Economic Society 2007

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 10 (2007)
Issue (Month): 3 (November)
Pages: 554-579

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Handle: RePEc:ect:emjrnl:v:10:y:2007:i:3:p:554-579

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Citations

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Cited by:
  1. Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  3. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
  4. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, MIT Press, vol. 125(3), pages 1145-1194, August.
  5. Enrique Martinez-Garcia, 2008. "Globalization and monetary policy: an introduction," Globalization and Monetary Policy Institute Working Paper 11, Federal Reserve Bank of Dallas.
  6. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications info:hdl:2441/53r60a8s3ku, Sciences Po.
  7. Elena Pesavento, 2006. "Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size," Economics Working Papers ECO2006/18, European University Institute.
  8. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
  9. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.

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