Tests of rationality, neutrality and market efficiency : A Monte Carlo analysis of alternative test statistics
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- Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
- Landon, Stuart, 1995. "Testing aggregate neutrality with heterogeneous sectors," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 131-148.
- Durlauf, Steven N & Phillips, Peter C B, 1988.
"Trends versus Random Walks in Time Series Analysis,"
Econometric Society, vol. 56(6), pages 1333-1354, November.
- Steven N. Durlauf & Peter C.B. Phillips, 1986. "Trends Versus Random Walks in Time Series Analysis," Cowles Foundation Discussion Papers 788, Cowles Foundation for Research in Economics, Yale University.
- Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
- Apergis, Nicholas & Miller, Stephen, 2004. "Macroeconomic rationality and Lucas' misperceptions model: further evidence from 41 countries," Journal of Economics and Business, Elsevier, vol. 56(3), pages 227-241.
- Smith, Jeremy & McAleer, Michael, 1995. "The performance of alternative estimators in models with generated regressors when the expectations equation has reduced explanatory power," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 343-346.
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