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Expectations hypotheses tests at Long Horizons

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  • Barbara Rossi

Abstract

Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. When variables are highly persistent, commonly used test statistics may lead to overrejections in small samples. Copyright Royal Economic Society 2007

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  • Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  • Handle: RePEc:ect:emjrnl:v:10:y:2007:i:3:p:554-579
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    References listed on IDEAS

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    Cited by:

    1. Jesùs Gonzalo & Jean-Yves Pitarakis, 2017. "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
    2. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    3. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
    4. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, Oxford University Press, vol. 125(3), pages 1145-1194.
    5. Enrique Martinez-Garcia, 2008. "Globalization and monetary policy: an introduction," Globalization and Monetary Policy Institute Working Paper 11, Federal Reserve Bank of Dallas.
    6. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    7. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
    8. Elena Pesavento, 2006. "Near-optimal Unit Root Test with Stationary Covariate with Better Finite Sample Size," Emory Economics 0606, Department of Economics, Emory University (Atlanta).
    9. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    10. Ventosa-Santaulària, Daniel & Noriega, Antonio E., 2015. "Long-run monetary neutrality under stochastic and deterministic trends," Economic Modelling, Elsevier, vol. 47(C), pages 372-382.
    11. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters,in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
    12. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications info:hdl:2441/53r60a8s3ku, Sciences Po.

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