Do We Reject Too Often? Small Sample Bias in Tests of Rational Expectations
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References listed on IDEAS
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- N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1991.
"Stock Market Forecastability and Volatility: A Statistical Appraisal,"
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More about this item
KeywordsRational expectations; non-stationary time series; detrending; small sample bias;
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