Direct test of the rational expectation hypothesis

Christian Gourieroux; Jacqueline Pradel

doi:10.1016/0014-2921(86)90044-9

Direct test of the rational expectation hypothesis

Christian Gourieroux
, Jacqueline Pradel

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we examine the possibility of testing the rational expectation hypothesis from simultaneous observations of some variables y and of their expectation y*. The test procedures are related to the sort of data available, generally obtained from tendency surveys. We distinguish between qualitative and quantitative data, we define in each case the notion of rational expectation. Then it is possible to characterize the rational expectation hypothesis and to develop adapted test procedures.

Original language	English
Pages (from-to)	265-284
Number of pages	20
Journal	European Economic Review
Volume	30
Issue number	2
DOIs	https://doi.org/10.1016/0014-2921(86)90044-9
Publication status	Published - 1 Jan 1986
Externally published	Yes

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title = "Direct test of the rational expectation hypothesis",

abstract = "In this paper we examine the possibility of testing the rational expectation hypothesis from simultaneous observations of some variables y and of their expectation y*. The test procedures are related to the sort of data available, generally obtained from tendency surveys. We distinguish between qualitative and quantitative data, we define in each case the notion of rational expectation. Then it is possible to characterize the rational expectation hypothesis and to develop adapted test procedures.",

author = "Christian Gourieroux and Jacqueline Pradel",

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AB - In this paper we examine the possibility of testing the rational expectation hypothesis from simultaneous observations of some variables y and of their expectation y*. The test procedures are related to the sort of data available, generally obtained from tendency surveys. We distinguish between qualitative and quantitative data, we define in each case the notion of rational expectation. Then it is possible to characterize the rational expectation hypothesis and to develop adapted test procedures.

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U2 - 10.1016/0014-2921(86)90044-9

DO - 10.1016/0014-2921(86)90044-9

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SN - 0014-2921

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JO - European Economic Review

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IS - 2

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Direct test of the rational expectation hypothesis

Abstract

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