Bilgili, Faik (2001): The unbiasedness and efficiency tests of the rational expectations hypothesis.
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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.
|Item Type:||MPRA Paper|
|Original Title:||The unbiasedness and efficiency tests of the rational expectations hypothesis|
|Keywords:||Rational expectations hypothesis, expectations, unbiasedness, efficiency, Box-Jenkins forecasting model|
|Subjects:||E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles
|Depositing User:||Faik Bilgili|
|Date Deposited:||27. Jul 2010 15:00|
|Last Modified:||15. Feb 2013 14:36|
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