Randomization test of the rational expectation hypothesis
type: Item
instance of: scholarly article
title: Randomization test of the rational expectation hypothesis
zbMATH Open document ID: 0934.62045
author: Martin Kukuk
published in: Computational Statistics
publication date: 2000-03-02T00:00:00Z
review text: The rational expectations hypothesis is usually tested by checking whether a specific parameter in the linear latent model is zero. The author applies the randomization methodology to perform this test. This nonparametric method is chosen since in other studies using this data set it is shown that different distributional assumptions are rejected. To demonstrate the procedure a Monte Carlo experiment is presented.
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1409713
zbMATH Keywords: rational expectations
zbMATH Keywords: latent variables
zbMATH Keywords: correlation
zbMATH Keywords: randomization test
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1409713