Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models
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https://www.nber.org/papers/t0051
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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
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美国国家经济研究局创建时间：
1985-10-01
