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Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations

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  • Baak, Saang Joon
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    File URL: http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-C/2/f9a3d33da9c25589b7ed2ce79d45c69e
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 23 (1999)
    Issue (Month): 9-10 (September)
    Pages: 1517-1543

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    Handle: RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1517-1543

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    1. repec:att:wimass:9506 is not listed on IDEAS
    2. Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
    3. Nerlove, Marc & Fornari, Ilaria, 1998. "Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 129-161.
    4. GRANDMONT, Jean-Michel, 1997. "Expectations formation and stability of large socioeconomic systems," CORE Discussion Papers 1997088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
    6. Evan W. Anderson & Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1995. "On the mechanics of forming and estimating dynamic linear economies," Staff Report 198, Federal Reserve Bank of Minneapolis.
    7. Becker, Robert A., 1985. "Capital income taxation and perfect foresight," Journal of Public Economics, Elsevier, vol. 26(2), pages 147-167, March.
    8. Brock, William A & LeBaron, Blake D, 1996. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 94-110, February.
    9. McGrattan, Ellen R., 1994. "A note on computing competitive equilibria in linear models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(1), pages 149-160, January.
    10. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1995. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," NBER Technical Working Papers 0174, National Bureau of Economic Research, Inc.
    11. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January.
    12. repec:att:wimass:9530 is not listed on IDEAS
    13. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
    14. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June.
    15. William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
    16. Andrews, Donald W K, 1996. "Admissibility of the Likelihood Ratio Test When the Parameter Space Is Restricted under the Alternative," Econometrica, Econometric Society, vol. 64(3), pages 705-18, May.
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