An Indirect Test for the Specification of Expectation Regimes
AbstractThis 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.
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Bibliographic InfoPaper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 10702.
Date of creation: 01 Nov 1986
Date of revision:
Publication status: Published in Review of Economics and Statistics, November 1986, vol. 68 no. 4, pp. 603-609
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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
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Web page: http://www.econ.iastate.edu
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- Orazem, Peter & Miranowski, John, 1986. "An Indirect Test for the Specification of Expectation Regimes," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 603-09, November.
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- 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, vol. 83(1-2), pages 129-161.
- Kerr, Suzi & Sanchirico, James & Newell, Richard, 2002.
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- 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., vol. 18(4), pages 407-426.
- Paudel, Krishna P. & McIntosh, Christopher S., 1998.
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20962, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Chavas, Jean-Paul, 2000. "On information and market dynamics: The case of the U.S. beef market," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 833-853, June.
- 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, vol. 14(02), December.
- 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, vol. 25(2), October.
- Sanchirico, James & Newell, Richard & Papps, Kerry, 2005. "Asset Pricing in Created Markets for Fishing Quotas," Discussion Papers dp-05-46, Resources For the Future.
- 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, vol. 24(01), July.
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