Direct test of the rational expectation hypothesis
Gouriéroux, Christian; Pradel, Jacqueline (1986), Direct test of the rational expectation hypothesis, European Economic Review, 30, 2, p. 265-284. http://dx.doi.org/10.1016/0014-2921(86)90044-9
TypeArticle accepté pour publication ou publié
Journal nameEuropean Economic Review
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Abstract (EN)In this paper we examine the possibility of testing the rational expectation hypothesis from simultaneous observations of some variables y and of their expectation y∗. The test procedures are related to the sort of data available, generally obtained from tendency surveys. We distinguish between qualitative and quantitative data, we define in each case the notion of rational expectation. Then it is possible to characterize the rational expectation hypothesis and to develop adapted test procedures.
Subjects / Keywordstest procedures; rational expectation
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