| Автор | McAleer, Michael |
| Автор | McKenzie, C.R |
| Автор | Hashem Pesaran, M. |
| Дата выпуска | 1994 |
| dc.description | The paper is concerned with direct tests of the rational expectations hypothesis (REH) in the presence of stationary and non-stationary variables. Alternative methods of converting qualitative survey responses into quantitative expectations series are examined. Testing of orthogonality and the issue of generated regressors for models estimated by two step methods are re-evaluated when the variable to be explained is stationary. A methodological approach for testing the REH is provided for models using qualitative response data when there are unit roots and cointegration, and alternative reasons are examined for rejecting the null hypothesis of orthogonality. The usefulness of cointegration analysis for both the probability and regression conversion procedures is also analysed. Cointegration is found to be directly applicable for the probability conversion approach with uniform, normal and logistic distributions of expectations and for the linear regressicn conversion approach. In the light of new techniques, an existing empirical example testing the REH for British manufacturing firms is re-examined and tested over an extended data set. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | Rational Expectations Hypothesis |
| Тема | Direct Tests |
| Тема | Orthogonality Tests |
| Тема | Cointegration |
| Тема | Generated Regressors |
| Название | Cointegration and direct tests of the rational expectations hypothesis |
| Тип | research-article |
| DOI | 10.1080/07474939408800285 |
| Electronic ISSN | 1532-4168 |
| Print ISSN | 0747-4938 |
| Журнал | Econometric Reviews |
| Том | 13 |
| Первая страница | 231 |
| Последняя страница | 258 |
| Аффилиация | McAleer, Michael; Department of Economics, University of Western Australia; Institute of Economic Research, Kyoto University |
| Аффилиация | McKenzie, C.R; Faculty of Economics |
| Аффилиация | Hashem Pesaran, M.; Cambridge Department of Economics, Trinity College |
| Выпуск | 2 |
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