The unbiasedness and efficiency tests of the rational expectations hypothesis

Faik Bilgili

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines the direct tests of the Rational Expectations Hypothesis (REH). Pesando (1975) employs the Livingston survey data of business economists and reaches the rejection of rationality and consistency but not rejection of the efficiency. Analyzing the same data, Carlson (1977) rejects these three hypotheses that Pesando tests when he uses expectations on CPI, but doesn’t reject hypotheses as he uses expectations on WPI. Turnovsky (1980) tests the unbiasedness property of the REH using Livingston data and finds different results for the different periods of data. Friedman (1980) applies the unbiasedness and efficiency tests using data of The Goldsmith-Nagan Bond and Money Market Letter and reaches mixed results for the REH. Ball and Croushore (1995) use the several survey results and univariate forecasting models. Their results provide a strong rejection of the REH.

Keywords: Rational expectations hypothesis; expectations; unbiasedness; efficiency; Box-Jenkins forecasting model (search for similar items in EconPapers)
JEL-codes: E3 E5 (search for similar items in EconPapers)
Date: 2001-08-10, Revised 2010-03-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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