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On the power of direct tests for rational expectations against the alternative of constant gain learning

  • Victor Bystrov

    ()

    (University of Lodz, Institute of Economics)

  • Anna Staszewska-Bystrova

    ()

    (University of Lodz, Chair of Econometric Models and Forecasts)

In this paper we study the power of direct tests for rational expectations against the constant gain learning alternative. The investigation is by means of a Monte Carlo study. The tests considered use quantitative expectations data and qualitative survey data that has been quantified. The main finding is that the power of tests for rational expectations against constant gain learning may be very small, making it impossible to distinguish the hypotheses.

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File URL: http://www.bankikredyt.nbp.pl/content/2010/06/bik_06_2010_03_art.pdf
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Article provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.

Volume (Year): 41 (2010)
Issue (Month): 6 ()
Pages: 71-84

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Handle: RePEc:nbp:nbpbik:v:41:y:2010:i:6:p:71-84
Note: Support from the EU Commission through MRTN-CT-2006-034270 COMISEF is gratefully acknowledged. The authors would like to thank two anonymous referees for comments and suggestions which helped to improve this paper.
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  1. Smith, Jeremy & McAleer, Michael, 1995. "Alternative Procedures for Converting Qualitative Response Data to Quantitative Expectations: An Application to Australian Manufacturing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 165-85, April-Jun.
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