On the 'restricted cointegration test' as a test of the rational expectations hypothesis

Detalhes bibliográficos
Autor(a) principal: Lopes, Artur Silva
Data de Publicação: 1998
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/17677
Resumo: One of the main consequences of the `cointegration revolution’ on the domain of the direct tests of the rational expectations hypothesis (REH) was the substitution of the `restricted cointegration test’ (RCT) for the `unbiasedness test’. However, the results of a Monte Carlo study show that a simple t-test can be much more powerful than the RCT. It is argued that the RCT is adequate to investigate the `asymptotic rationality’ but that it is not sufficient to assess the Muthian rationality of expectations. The discussion is empirically illustrated with the test of the REH for the Portuguese retail trade inflation expectations.
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spelling On the 'restricted cointegration test' as a test of the rational expectations hypothesisOne of the main consequences of the `cointegration revolution’ on the domain of the direct tests of the rational expectations hypothesis (REH) was the substitution of the `restricted cointegration test’ (RCT) for the `unbiasedness test’. However, the results of a Monte Carlo study show that a simple t-test can be much more powerful than the RCT. It is argued that the RCT is adequate to investigate the `asymptotic rationality’ but that it is not sufficient to assess the Muthian rationality of expectations. The discussion is empirically illustrated with the test of the REH for the Portuguese retail trade inflation expectations.Taylor & FrancisRepositório da Universidade de LisboaLopes, Artur Silva2019-04-01T10:33:02Z19981998-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17677engLopes, Artur Silva (1998). "On the 'restricted cointegration test' as a test of the rational expectations hypothesis". Applied Economics, 30(2):269-278. DOI: 10.1080/0003684983260650003-684610.1080/000368498326065info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:47:20Zoai:www.repository.utl.pt:10400.5/17677Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:02:50.118570Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv On the 'restricted cointegration test' as a test of the rational expectations hypothesis
title On the 'restricted cointegration test' as a test of the rational expectations hypothesis
spellingShingle On the 'restricted cointegration test' as a test of the rational expectations hypothesis
Lopes, Artur Silva
title_short On the 'restricted cointegration test' as a test of the rational expectations hypothesis
title_full On the 'restricted cointegration test' as a test of the rational expectations hypothesis
title_fullStr On the 'restricted cointegration test' as a test of the rational expectations hypothesis
title_full_unstemmed On the 'restricted cointegration test' as a test of the rational expectations hypothesis
title_sort On the 'restricted cointegration test' as a test of the rational expectations hypothesis
author Lopes, Artur Silva
author_facet Lopes, Artur Silva
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Lopes, Artur Silva
description One of the main consequences of the `cointegration revolution’ on the domain of the direct tests of the rational expectations hypothesis (REH) was the substitution of the `restricted cointegration test’ (RCT) for the `unbiasedness test’. However, the results of a Monte Carlo study show that a simple t-test can be much more powerful than the RCT. It is argued that the RCT is adequate to investigate the `asymptotic rationality’ but that it is not sufficient to assess the Muthian rationality of expectations. The discussion is empirically illustrated with the test of the REH for the Portuguese retail trade inflation expectations.
publishDate 1998
dc.date.none.fl_str_mv 1998
1998-01-01T00:00:00Z
2019-04-01T10:33:02Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/17677
url http://hdl.handle.net/10400.5/17677
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Lopes, Artur Silva (1998). "On the 'restricted cointegration test' as a test of the rational expectations hypothesis". Applied Economics, 30(2):269-278. DOI: 10.1080/000368498326065
0003-6846
10.1080/000368498326065
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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