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Tests of rationality, neutrality and market efficiency : A Monte Carlo analysis of alternative test statistics

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  • Hoffman, Dennis L.
  • Low, Stuart A.
  • Schlagenhauf, Don E.

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File URL: http://www.sciencedirect.com/science/article/B6VBW-45F925T-5G/2/7c8fd1f9a40293781d46eace0d01b8ab
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 14 (1984)
Issue (Month): 3 (November)
Pages: 339-363

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Handle: RePEc:eee:moneco:v:14:y:1984:i:3:p:339-363

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Web page: http://www.elsevier.com/locate/inca/505566

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Cited by:
  1. Apergis, Nicholas & Miller, Stephen, 2004. "Macroeconomic rationality and Lucas' misperceptions model: further evidence from 41 countries," Journal of Economics and Business, Elsevier, vol. 56(3), pages 227-241.
  2. Durlauf, Steven N & Phillips, Peter C B, 1988. "Trends versus Random Walks in Time Series Analysis," Econometrica, Econometric Society, vol. 56(6), pages 1333-54, November.
  3. Smith, Jeremy & McAleer, Michael, 1995. "The performance of alternative estimators in models with generated regressors when the expectations equation has reduced explanatory power," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 343-346.
  4. Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
  5. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.

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