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Expectations in Micro Data: Rationality Revisited

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Author Info
Hugo Benítez-Silva (SUNY – Stony Brook)
Debra S. Dwyer (SUNY – Stony Brook)
Wayne-Roy Gayle (University of Pittsburgh)
Thomas J. Muench (SUNY – Stony Brook)

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Abstract

An increasing number of longitudinal data sets collect expectations information regarding a variety of future individual level events and decisions, providing researchers with the opportunity to explore expectations over micro variables in detail. We provide a theoretical framework and an econometric methodology to use that type of information to test the Rational Expectations hypothesis in models of individual behavior, and present tests using two different panel data sets.

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File URL: http://www.mrrc.isr.umich.edu/publications/Papers/pdf/wp059.pdf
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Paper provided by University of Michigan, Michigan Retirement Research Center in its series Working Papers with number wp059.

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Length: 19 pages
Date of creation: Oct 2003
Date of revision:
Handle: RePEc:mrr:papers:wp059

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Fair, Ray C, 1993. "Testing the Rational Expectations Hypothesis in Macroeconometric Models," Oxford Economic Papers, Oxford University Press, vol. 45(2), pages 169-90, April. [Downloadable!] (restricted)
  2. Lovell, Michael C, 1986. "Tests of the Rational Expectations Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 110-24, March. [Downloadable!] (restricted)
  3. B. Douglas Bernheim, 1990. "How Do the Elderly Form Expectations? An Analysis of Responses to New Information," NBER Chapters, in: Issues in the Economics of Aging, pages 259-286 National Bureau of Economic Research, Inc. [Downloadable!]
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  4. Hugo Benítez-Silva & Debra S. Dwyer, 2003. "What to Expect when you are Expecting Rationality: Testing Rational Expectations using Micro Data," Working Papers wp037, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
  5. Stephen Bond & Céline Nauges & Frank Windmeijer, 2002. "Unit Roots and Identification in Autoregressive Panel Data Models: A Comparison of Alternative Tests," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C5-4, International Conferences on Panel Data. [Downloadable!]
  6. Gramlich, Edward M, 1983. "Models of Inflation Expectations Formation: A Comparison of Household and Economist Forecasts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(2), pages 155-73, May. [Downloadable!] (restricted)
  7. Simon, Herbert A, 1979. "Rational Decision Making in Business Organizations," American Economic Review, American Economic Association, vol. 69(4), pages 493-513, September. [Downloadable!] (restricted)
  8. Christiansen, Charlotte, 2003. "Testing the expectations hypothesis using long-maturity forward rates," Economics Letters, Elsevier, vol. 78(2), pages 175-180, February. [Downloadable!] (restricted)
  9. Prescott, Edward C., 1977. "Should control theory be used for economic stabilization?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 7(1), pages 13-38, January. [Downloadable!] (restricted)
  10. Figlewski, Stephen & Wachtel, Paul, 1981. "The Formation of Inflationary Expectations," The Review of Economics and Statistics, MIT Press, vol. 63(1), pages 1-10, February. [Downloadable!] (restricted)
  11. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April. [Downloadable!] (restricted)
  12. Sargent, Thomas J. & Wallace, Neil, 1976. "Rational expectations and the theory of economic policy," Journal of Monetary Economics, Elsevier, vol. 2(2), pages 169-183, April. [Downloadable!] (restricted)
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  13. Revankar, Nagesh S, 1980. "Testing of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(6), pages 1347-63, September. [Downloadable!] (restricted)
  14. Schmalensee, Richard, 1976. "An Experimental Study of Expectation Formation," Econometrica, Econometric Society, vol. 44(1), pages 17-41, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hugo Benítez-Silva & Selcuk Eren & Frank Heiland & Sergi Jiménez-Martín, 2008. "How Well do Individuals Predict the Selling Prices of their Homes?," Economics Working Papers 1065, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008. [Downloadable!]
    Other versions:
  2. Juergen Jung, 2008. "Subjective Health Expectations," Caepr Working Papers 2008-016, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
  3. Hugo Benítez-Silva & Debra S. Dwyer, 2003. "Expectation Formation of Older Married Couples and the Rational Expectations Hypothesis," Working Papers wp062, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    Other versions:
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