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

Université Paris Dauphine
Université Panthéon-Sorbonne (Paris 1)

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	265-284
Nombre de pages	20
journal	European Economic Review
Volume	30
Numéro de publication	2
Les DOIs	https://doi.org/10.1016/0014-2921(86)90044-9
état	Publié - 1 janv. 1986
Modification externe	Oui

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10.1016/0014-2921(86)90044-9

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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.",

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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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Direct test of the rational expectation hypothesis

Résumé

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