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Econometric tests of rationality and market efficiency Author info | Abstract | Publisher info | Download info | Related research | Statistics Richard Baillie
Many economic theories give rise to restrictions between the future rational expectations of a set of variables. This paper describes how such theories can be tested from vector time series models. Particular attention is given to problems of nonstationarity and the use of the concept of cointegration in the modeling and testing procedure.
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Article provided by Taylor and Francis Journals in its journal Econometric Reviews .
Volume (Year): 8 (1989)
Issue (Month): 2 ()
Pages: 151-186
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Handle: RePEc:taf:emetrv:v:8:y:1989:i:2:p:151-186Contact details of provider: Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=107830
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