Testing the Rational Expectations Hypothesis in Macroeconometric Models

Ray Fair ()

Oxford Economic Papers, 1993, vol. 45, issue 2, 169-90

Abstract: The rational expectations hypothesis is tested by nesting equations without rational expectations within those with rational expectations. This reduces to whether certain variables in an equation are statistically significant. The test can be regarded as an alternative/supplement to Hendry's test of the expectations mechanism but does not require a complete specification of the expectations equation. It provides an easy way to examine the validity of the rational expectations hypothesis in a model such as S. G. Hall and S. G. B. Henry's (1988), where the hypothesis is used but not tested. The author also examines the sensitivity of the properties of a macroeconometric model to the rational expectations hypothesis. Copyright 1993 by Royal Economic Society.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://links.jstor.org/sici?sici=0030-7653%2819930 ... 0.CO%3B2-M&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:oxecpp:v:45:y:1993:i:2:p:169-90

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Oxford Economic Papers is currently edited by James Forder and Francis J. Teal

More articles in Oxford Economic Papers from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
Bibliographic data for series maintained by Oxford University Press ().