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Expectations hypotheses tests at Long Horizons

Listed author(s):
  • Barbara Rossi

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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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00222.x
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Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 10 (2007)
Issue (Month): 3 (November)
Pages: 554-579

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Handle: RePEc:ect:emjrnl:v:10:y:2007:i:3:p:554-579
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