RT Journal Article
T1 Rejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors
A1 Dolado, Juan José
A1 Banerjee, Anindya
A1 Galbraith, John W.
AB 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.
PB Elsevier
SN 0165-1765
YR 1987
FD 1987
LK https://hdl.handle.net/10016/3323
UL https://hdl.handle.net/10016/3323
LA eng
DS e-Archivo
RD 30 abr. 2024