Cointegration and direct tests of the rational expectations hypothesis

DOI10.1080/07474939408800285zbMath0829.62104OpenAlexW2501807583MaRDI QIDQ4853081

M. Hashem Pesaran, Michael McAleer, C. R. Mckenzie

Publication date: 1994

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939408800285

zbMATH Keywords

cointegrationunit rootsnormaluniformlogistic distributionstwo-step methodsrational expectations hypothesisdirect testsprobability conversion approachqualitative survey responsesquantitative expectations seriestesting of orthogonality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Statistical analysis of cointegration vectors
• Trends and random walks in macroeconomic time series
• Econometric Issues in the Analysis of Regressions with Generated Regressors
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Cointegration and direct tests of the rational expectations hypothesis