D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - In: Quantitative Economics 12 (2021) 3, pp. 817-842
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and … in two different data sets that cannot be matched. We show that whether one can rationalize rational expectations is … aggregate shocks. Finally, we apply our methodology to test for rational expectations about future earnings. While individuals …