TY - JOUR
T1 - Testing the restrictions implied by the rational expectations hypothesis
AU - Hoffman, Dennis
AU - Schmidt, Peter
PY - 1981/2
Y1 - 1981/2
N2 - The nature and form of the restrictions implied by the rational expectations hypothesis are examined in a variety of models with expectations and the properties of appropriate test statistics are analyzed with Monte Carlo evidence. Specifically, we consider the implications of lagged variables, simultaneous equations, and future period expectations upon the number and functional form of the rational expectations restrictions. Two asymptotically equivalent test statistics - a likelihood ratio and a Wald test - are available for implementing a test of these restrictions. Monte Carlo evidence is offered to provide a comparison between the properties of the alternative test statistics in small samples.
AB - The nature and form of the restrictions implied by the rational expectations hypothesis are examined in a variety of models with expectations and the properties of appropriate test statistics are analyzed with Monte Carlo evidence. Specifically, we consider the implications of lagged variables, simultaneous equations, and future period expectations upon the number and functional form of the rational expectations restrictions. Two asymptotically equivalent test statistics - a likelihood ratio and a Wald test - are available for implementing a test of these restrictions. Monte Carlo evidence is offered to provide a comparison between the properties of the alternative test statistics in small samples.
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U2 - 10.1016/0304-4076(81)90117-2
DO - 10.1016/0304-4076(81)90117-2
M3 - Article
AN - SCOPUS:0011908609
SN - 0304-4076
VL - 15
SP - 265
EP - 287
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -