Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models
收藏NBER1985-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0051
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资源简介：
We examine the small sample properties of tests of rational expectations models. We show using Monte Carlo experiments that the asymptotic distribution of test statistics can be extremely misleading when the tine series examined are highly autoregressive. In particular, a practitioner relying on the
提供机构：
美国国家经济研究局
创建时间：
1985-10-01
