Testing the Rational Expectations Hypothesis in Macroeconometric Models
The rational expectations hypothesis is tested by nesting equations without rational expectations within those with rational expectations. This reduces to whether certain variables in an equation are statistically significant. The test can be regarded as an alternative/supplement to Hendry's test of the expectations mechanism but does not require a complete specification of the expectations equation. It provides an easy way to examine the validity of the rational expectations hypothesis in a model such as S. G. Hall and S. G. B. Henry's (1988), where the hypothesis is used but not tested. The author also examines the sensitivity of the properties of a macroeconometric model to the rational expectations hypothesis. Copyright 1993 by Royal Economic Society.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 45 (1993)
Issue (Month): 2 (April)
|Contact details of provider:|| Postal: |
Fax: 01865 267 985
Web page: http://oep.oupjournals.org/Email:
|Order Information:||Web: http://www.oup.co.uk/journals|
When requesting a correction, please mention this item's handle: RePEc:oup:oxecpp:v:45:y:1993:i:2:p:169-90. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.