Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem

DOI10.1016/0165-1765(91)90145-BzbMath0719.62115OpenAlexW1480423660MaRDI QIDQ2640304

Bryan Campbell, Jean-Marie Dufour

Publication date: 1991

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90145-b

zbMATH Keywords

model specificationrational expectations modelsMankiw-Shapiro problemtests for rationality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10)

Related Items (4)

Exact tests in single equation autoregressive distributed lag models ⋮ Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity ⋮ Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form ⋮ Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Cites Work

• Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
• Concepts of nonparametric theory
• Orthogonality tests with de-trended data: interpreting Monte-Carlo results using Nagar expansions
• RANK TESTS FOR SERIAL DEPENDENCE
• Unnamed Item
• Unnamed Item

This page was built for publication: Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem