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Testing the Rationality of Survey Data Using the Weighted Double-Bootstrapped Method of Moments

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  • Jeong, Jinook
  • Maddala, G S

Abstract

Conventional tests for rationality of survey data on expectations are not valid in the presence of measurement errors. However, if two or more survey measures of expectations are available on the true unobserved expectational variables, we can devise the appropriate FIML estimation methods and Wald tests for rationality. This paper uses this method for survey data on expectations for the 90-day Treasury bill rates. However, the Wald tests would be based on inaccurate standard errors in the presence of heteroskedasticity, and also be subject to size distortions if asymptotic critical values are used. The present paper corrects these two problems using a weighted double bootstrap method. Copyright 1996 by MIT Press.

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Bibliographic Info

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

Volume (Year): 78 (1996)
Issue (Month): 2 (May)
Pages: 296-302

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Handle: RePEc:tpr:restat:v:78:y:1996:i:2:p:296-302

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Web page: http://mitpress.mit.edu/journals/

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Cited by:
  1. Roman Horváth & Jakub Matějů, 2011. "How Are Inflation Targets Set?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2011/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2011.
  2. David Laster & Paul Bennett & In Sun Geoum, 1996. "Rational bias in macroeconomic forecasts," Research Paper, Federal Reserve Bank of New York 9617, Federal Reserve Bank of New York.
  3. Agnieszka Markiewicz & Andreas Pick, 2013. "Adaptive Learning and Survey Data," CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis 201305, Centre for Dynamic Macroeconomic Analysis.
  4. Higgins, Matthew L. & Mishra, Sagarika, 2014. "State dependent asymmetric loss and the consensus forecast of real U.S. GDP growth," Economic Modelling, Elsevier, Elsevier, vol. 38(C), pages 627-632.
  5. Pierre-Daniel G. Sarte, 2010. "Learning about informational rigidities from sectoral data and diffusion indices," Working Paper, Federal Reserve Bank of Richmond 10-09, Federal Reserve Bank of Richmond.
  6. David Laster & Paul Bennett & In Sun Geoum, 1997. "Rational bias in macroeconomic forecasts," Staff Reports, Federal Reserve Bank of New York 21, Federal Reserve Bank of New York.
  7. Sagarika Mishra, . "Do Agents Learn by Least Squares? The Evidence Provided by Changes in Monetary Policy," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2012_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.

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