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Over-Rejections in Rational Expectations Models: A Nonparametric Approach to the Mankiw-Shapiro Problem

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Author Info

  • Campbell, B.
  • Dufour, J.-M.

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Bibliographic Info

Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9116.

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Length: 11 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:mtl:montec:9116

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Keywords: tests ; econometrics ; economic models;

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Cited by:
  1. Bryan Campbell & Eric Ghysels, 1995. "An Empirical Analysis of the Canadian Budget Process," CIRANO Working Papers 95s-08, CIRANO.
  2. Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
  3. John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
  4. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Universite de Montreal, Departement de sciences economiques.
  5. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  6. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2532-2553, November.
  7. G. Lamé & M. Lequien & P.-A. Pionnier, 2013. "Interpretation and limits of sustainability tests in public finance," Documents de Travail de la DESE - Working Papers of the DESE g2013-05, Institut National de la Statistique et des Etudes Economiques, DESE.

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