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

Thumbnail Image
Identifiers
URI: https://hdl.handle.net/10016/3323
ISSN: 0165-1765
DOI: 10.1016/0165-1765(87)90221-7
Files
rejections_dolado_EL_1987_ps.pdf (217.59 KB)
Publication date
1987
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
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 data generating processes and models, that the importance of the over-rejections may have been over-emphasized.
Description
Keywords
Análisis de regresión, Método de Monte Carlo, Modelo matemático
Bibliographic citation
Economics Letters, 1987, v. 25, n. 1, pp. 243-247
Collections
DE - Artículos de Revistas
Economists Online