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A Monte Carlo study of some tests of model adequacy in time series analysis
Hall, Anthony D.; McAleer, Michael - 1987 - Rev.
Persistent link: https://www.econbiz.de/10000724797
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GARP violation, economic enironment distortions and shadow prices : evidence from household expenditure panel data
Diaye, Marc-Arthur; Gardes, Françoise; Starzec, Krzysztof - In: Annales d'économie et de statistique 90 (2008), pp. 3-33
Persistent link: https://www.econbiz.de/10003910503
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The world according to GARP : non-parametric tests of demand theory and rational behavior
Diaye, Marc-Arthur; Gardes, François; Starzec, Krzysztof - 2001
Persistent link: https://www.econbiz.de/10001620425
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Rational inattention in the frequency domain
Jurado, Kyle - In: Journal of economic theory 208 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014390487
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Assessor Rationality Across Differing Forecast Series
Vonnegut, Andrew - 2015
Extensive empirical studies on the rationality of expectations as defined by Muth have revolved around tests on a … single series of forecast data, with results differing widely across studies. Rationality as an assessor characteristic has … long been of interest in economic theory and practice. However, as non-replicated events, single series tests do not …
Persistent link: https://www.econbiz.de/10014138043
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Cointegration and aggregation
Körösi, Gábor - 1991
Persistent link: https://www.econbiz.de/10013392833
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
Persistent link: https://www.econbiz.de/10011498788
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The rational inattention filter
Maćkowiak, Bartosz; Matějka, Filip; Wiederholt, Mirko - 2017
Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention problems. We start from the benchmark rational inattention problem. An agent tracks a variable of interest that follows a Gaussian process. The...
Persistent link: https://www.econbiz.de/10011636897
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Rational bubbles and fractional integration
Kruse, Robinson (contributor) - 2008
In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...
Persistent link: https://www.econbiz.de/10003672198
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Measuring financial cycle time
Filardo, Andrew J.; Lombardi, Marco; Raczko, Marek - 2018
Persistent link: https://www.econbiz.de/10011979923