D'Haultfoeuille, 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 subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different data sets that cannot be matched....