Dolado, Juan JoséBanerjee, AnindyaGalbraith, John W.2012-12-192012-12-191987Economics Letters, 1987, v. 25, n. 1, pp. 243-2470165-1765https://hdl.handle.net/10016/3323It 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.text/plainapplication/pdfeng©1987, Elsevier Science Publishers B.V. (North-Holland)Análisis de regresiónMétodo de Monte CarloModelo matemáticoresearch articleEconomía10.1016/0165-1765(87)90221-7open access2431247Economics Letters25