OVER-REJECTIONS IN RATIONAL-EXPECTATIONS MODELS - A NONPARAMETRIC APPROACH TO THE MANKIW-SHAPIRO PROBLEM

被引：15

作者：

CAMPBELL, B ^{[1
]}

DUFOUR, JM ^{[1
]}

机构：

[1] UNIV MONTREAL,CRDE,MONTREAL H3C 3J7,QUEBEC,CANADA

来源：

ECONOMICS LETTERS | 1991年 / 35卷 / 03期

关键词：

D O I：

10.1016/0165-1765(91)90145-B

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Standard tests for rationality may not have the correct size if there is feedback from innovations to future values of the regressors. It is shown that nonparametric tests reject at their nominal level and display good power in a variety of specifications of a model involving feedback. © 1991.

引用

页码：285 / 290

页数：6

共 11 条

[1]

BANERJEE A, 1987, ECON LETT, V24, P27, DOI 10.1016/0165-1765(87)90176-5

[2] ORTHOGONALITY TESTS WITH DE-TRENDED DATA - INTERPRETING MONTE-CARLO RESULTS USING NAGAR EXPANSIONS [J].