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Rejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDolado, Juan José
dc.contributor.authorBanerjee, Anindya
dc.contributor.authorGalbraith, John W.
dc.date.accessioned2012-12-19T17:22:18Z
dc.date.available2012-12-19T17:22:18Z
dc.date.issued1987
dc.description.abstractIt is well known that many rationality tests do not have the correct sizes if innovations in the explanatory series are correlated with the regressand and the explanatory series are substantially autocorrelated. We argue, by considering somewhat more general data generating processes and models, that the importance of the over-rejections may have been over-emphasized.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationEconomics Letters, 1987, v. 25, n. 1, pp. 243-247
dc.identifier.doi10.1016/0165-1765(87)90221-7
dc.identifier.issn0165-1765
dc.identifier.publicationfirstpage243
dc.identifier.publicationissue1
dc.identifier.publicationlastpage247
dc.identifier.publicationtitleEconomics Letters
dc.identifier.publicationvolume25
dc.identifier.urihttp://hdl.handle.net/10016/3323
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/0165-1765(87)90221-7
dc.rights©1987, Elsevier Science Publishers B.V. (North-Holland)
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherAnálisis de regresión
dc.subject.otherMétodo de Monte Carlo
dc.subject.otherModelo matemático
dc.titleRejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors
dc.typeresearch article*
dc.type.hasVersionAM*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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