Recent literature on cointegration and unit roots has focused attention on the distribution of test statistics frequently used to test efficiency in rational expectations models. This paper concentrates on the permanent income hypothesis of real consumption. The authors illustrate, by using the proper asymptotic theory and small-sample approximations, the cases in which tests of such a hypothesis are biased towards rejection and cases where they have the correct sizes. Their results serve to interpret numerous Monte Carlo studies in the literature on this issue. Special emphasis is placed on the distinction between "weak" and "semistrong" rationality tests. Copyright 1988 by Royal Economic Society.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 40 (1988) Issue (Month): 4 (December) Pages: 610-33 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:oup:oxecpp:v:40:y:1988:i:4:p:610-33
Contact details of provider: Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK Fax: 01865 267 985 Email: Web page: http://oep.oupjournals.org/
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)