The recent literature on rational expectations in macroeconomic theory is surveyed here with the objective of distilling from the various papers useful suggestions for econometric methodology. The paper is not concerned with the empirical questions with which these models have been associated,...

A forecast produced by an econometric model is a weighted aggregate of predetermined variables in the model. In many models the number of predetermined variables used is very large, often exceeding the number of observations. A method is proposed in this paper for testing an econometric model as...