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

Dolado, Juan José; Banerjee, Anindya; Galbraith, John W.

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

Author(s): Dolado, Juan José; Banerjee, Anindya; Galbraith, John W.

Publisher: Elsevier

Issued date: 1987

Citation: Economics Letters, 1987, v. 25, n. 1, pp. 243-247

ISSN: 0165-1765

DOI: 10.1016/0165-1765(87)90221-7

Review: PeerReviewed

Publisher version: http://dx.doi.org/10.1016/0165-1765(87)90221-7

Keywords: Análisis de regresión , Método de Monte Carlo , Modelo matemático

URI: http://hdl.handle.net/10016/3323

Abstract:

It 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 d [+]

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