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An Indirect Test for the Specification of Expectation Regimes

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  • Orazem, Peter
  • Miranowski, John

Abstract

This paper develops an empirical strategy for testi ng competing hypotheses of expectation regimes when direct measures of expectati ons are unavailable. The procedure takes as given an assumed structural relation ship between expected values of exogeneous variables and a given decision variab le. By imposing different expectation regimes on this model, the authors obtain an artificial nesting of the hypothesized regimes which allows us to test whethe r any specification dominates. This methodology is extended to multipleequation applications with any number of hypothesized expectation regimes. The tests are illustrated using a model of the response of county-level farm acreage allocati on to expected commodity prices. Copyright 1986 by MIT Press.

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 68 (1986)
Issue (Month): 4 (November)
Pages: 603-09

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Handle: RePEc:tpr:restat:v:68:y:1986:i:4:p:603-09

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Cited by:
  1. Nerlove, Marc & Fornari, Ilaria, 1998. "Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply," Journal of Econometrics, Elsevier, Elsevier, vol. 83(1-2), pages 129-161.
  2. Emilio Galdeano-Gómez, 2007. "Composite price expectations: An empirical analysis for the Spanish horticultural sector," Agribusiness, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 57-83.
  3. Shideed, Kamil H. & White, Fred C., 1989. "Alternative Forms Of Price Expectations In Supply Analysis For U.S. Corn And Soybean Acreages," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 14(02), December.
  4. Paudel, Krishna P. & McIntosh, Christopher S., 1998. "Numeraire Choice In Agricultural Supply Analysis," 1998 Annual meeting, August 2-5, Salt Lake City, UT, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 20962, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  5. Sanchirico, James & Newell, Richard & Papps, Kerry, 2005. "Asset Pricing in Created Markets for Fishing Quotas," Discussion Papers, Resources For the Future dp-05-46, Resources For the Future.
  6. Newell, Richard G. & Sanchirico, James N. & Kerr, Suzi, 2005. "Fishing quota markets," Journal of Environmental Economics and Management, Elsevier, vol. 49(3), pages 437-462, May.
  7. Mcintosh, Christopher & Shumway, C. Richard, 1994. "Evaluating alternative price expectation models for multiproduct supply analysis," Agricultural Economics: The Journal of the International Association of Agricultural Economists, International Association of Agricultural Economists, International Association of Agricultural Economists, vol. 10(1), January.
  8. Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
  9. Chavas, Jean-Paul, 2000. "On information and market dynamics: The case of the U.S. beef market," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(5-7), pages 833-853, June.
  10. Burton, Diana M. & Love, H. Alan, 1996. "A Review Of Alternative Expectations Regimes In Commodity Markets: Specification, Estimation, And Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, Northeastern Agricultural and Resource Economics Association, vol. 25(2), October.
  11. Chavas, Jean-Paul, 1999. "On The Economic Rationality Of Market Participants: The Case Of Expectations In The U.S. Pork Market," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 24(01), July.

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