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Rationalizing rational expectations? : tests and deviations
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2018
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 …-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and …
Persistent link: https://www.econbiz.de/10011951089
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Rationalizing rational expectations: characterizations and tests
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2021
Persistent link: https://www.econbiz.de/10012542207
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Rationalizing rational expectations : characterizations and tests
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - In: Quantitative economics : QE ; journal of the … 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 … developed in the literature. The test is robust to measurement errors under some restrictions and can be extended to account for …
Persistent link: https://www.econbiz.de/10012598508
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Misspecification testing : non-invariance of expectations models of inflation
Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometric reviews 33 (2014) 5/6, pp. 553-574
Persistent link: https://www.econbiz.de/10010360791
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Rationalizing Rational Expectations? Tests and Deviations
D'Haultfœuille, Xavier - 2018
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 …-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and …
Persistent link: https://www.econbiz.de/10012906482
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Rationalizing Rational Expectations? Tests and Deviations
D'Haultfœuille, Xavier - 2018
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 …-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and …
Persistent link: https://www.econbiz.de/10012907747
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Rationalizing Rational Expectations? Tests and Deviations
D'Haultfoeuille, Xavier - 2018
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 …-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and …
Persistent link: https://www.econbiz.de/10012480925
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Rationalizing rational expectations? : tests and deviations
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2018
Persistent link: https://www.econbiz.de/10011979097
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Dynamic decisions under subjective expectations : a structural analysis
An, Yonghong; Hu, Yingyao; Xiao, Ruli - 2018
primitives using maximum likelihood estimation and illustrate the good performance of estimators using Monte Carlo experiments …
Persistent link: https://www.econbiz.de/10011788334
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Evaluating how predictable errors in expected income affect consumption
Giamboni, Luigi; Millemaci, Emanuele; Waldmann, Robert - In: Applied economics 45 (2013) 28/30, pp. 4004-4021
Persistent link: https://www.econbiz.de/10010345803