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Tests of rational expectations in a stark setting

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Author Info

  • Gerald P. Dwyer, Jr.
  • Arlington W. Williams
  • Raymond Battalio
  • Timothy Mason

Abstract

The authors test the hypothesis that subjects' forecasts in a stark experimental setting are not predictably different than the actual process generating the data. The particular process that they use is a random walk. Forty subjects predict realizations of random walks chosen to be consistent with the actual process generating the data. The authors find that they cannot predict subjects' deviations from rational expectations of the process actually generating the data for about half of the subjects. The authors cannot predict the forecast errors of about 90 percent of the subjects with information actually available to them. Coauthors are Arlington W. Williams, Raymond C. Battalio, and Timothy I. Mason. Copyright 1993 by Royal Economic Society.

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Bibliographic Info

Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 1989-001.

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Date of creation: 1989
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Publication status: Published in Economic Journal, May 1993, 103(418), pp. 586-601
Handle: RePEc:fip:fedlwp:1989-001

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Keywords: Rational expectations (Economic theory);

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