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Over-rejections in rational expectations models : A non-parametric approach to the Mankiw-Shapiro problem

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  • Campbell, Bryan
  • Dufour, Jean-Marie

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 35 (1991)
Issue (Month): 3 (March)
Pages: 285-290

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Handle: RePEc:eee:ecolet:v:35:y:1991:i:3:p:285-290

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Web page: http://www.elsevier.com/locate/ecolet

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Cited by:
  1. G. Lamé & M. Lequien & P.-A. Pionnier, 2013. "Interpretation and limits of sustainability tests in public finance," Documents de Travail de la DESE - Working Papers of the DESE g2013-05, Institut National de la Statistique et des Etudes Economiques, DESE.
  2. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. Bryan Campbell & Eric Ghysels, 1997. "An Empirical Analysis of the Canadian Budget Process," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 553-76, August.
  4. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  5. John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
  6. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  7. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2532-2553, November.

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