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Small-sample inference in rational expectations models with persistent data

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  • Li, Hong
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4NC5SVM-1/2/daf90cc94864179908be84e2ffdaa304
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 95 (2007)
    Issue (Month): 2 (May)
    Pages: 203-210

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    Handle: RePEc:eee:ecolet:v:95:y:2007:i:2:p:203-210

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

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    1. N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models," NBER Technical Working Papers 0051, National Bureau of Economic Research, Inc.
    2. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
    3. Stock, James H., 1991. "Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 435-459, December.
    4. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
    5. Graham Elliott, 1998. "On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots," Econometrica, Econometric Society, vol. 66(1), pages 149-158, January.
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    Cited by:
    1. Ron Smith & M. Hashem Pesaran, 2007. "Monetary Policy Transmission and the Phillips Curve in a Global Context," Kiel Working Papers 1366, Kiel Institute for the World Economy.
    2. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    3. Dees, Stephane & Pesaran, M. Hashem & Smith, L. Vanessa & Smith, Ron P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," IZA Discussion Papers 3298, Institute for the Study of Labor (IZA).
    4. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.

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