{"title":"Expectations Hypotheses Tests at Long Horizons","authors":"B. Rossi","doi":"10.1111/j.1368-423X.2007.00222.x","DOIUrl":null,"url":null,"abstract":"Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. When variables are highly persistent, commonly used test statistics may lead to overrejections in small samples. Copyright Royal Economic Society 2007","PeriodicalId":175689,"journal":{"name":"Wiley-Blackwell: Econometrics Journal","volume":"56 7","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2007-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"34","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Wiley-Blackwell: Econometrics Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/j.1368-423X.2007.00222.x","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 34
Abstract
Many rational expectations models state that an economic variable is determined as the present value of future variables. These restrictions have traditionally been tested on VARs where variables appear either in levels (or cointegrating relationships) or first differences. When variables are highly persistent, commonly used test statistics may lead to overrejections in small samples. Copyright Royal Economic Society 2007
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