Most models in economics and other social sciences involve a description of human behavior. In economics, one usually postulates that human beings (or, in more general terms, economic agents) behave in a rational way whereby rationality is meant to cover two different aspects. The first one is that agents behave optimally in any given situation. For example, they maximize their utility or their profit. The second aspect of rationality is that agents form expectations about the future in a way which is `not systematically wrong'. Most economists seem to agree on how to formulate optimizing behavior, but there are various opinions on how one should model the second aspect of rationality. This paper suggests that agents form expectations about future variables in such a way that their beliefs are consistent with the observed realizations in a linear statistical sense. In other words, it is supposed that agents act like econometricians using linear statistical techniques and, in doing so, they do not make systematic forecasting errors.
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