| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11758 |
| 来源ID | Working Paper 11758 |
| The Role of Beliefs in Inference for Rational Expectations Models | |
| Bruce N. Lehmann | |
| 发表日期 | 2005-11-14 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions. The null hypothesis is taken to be rational expectations and the alternative hypothesis to be distorted beliefs. This distorted beliefs alternative is analyzed from the perspective of a hypothetical semiparametric Bayesian who believes the model and uses it to learn about the DGP. This interpretation provides a different perspective on estimates, test statistics, and confidence regions in large samples, particularly regarding the economic significance of rejections in rational expectations models. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w11758 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569409 |
| 推荐引用方式 GB/T 7714 | Bruce N. Lehmann. The Role of Beliefs in Inference for Rational Expectations Models. 2005. |
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| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11758.pdf（256KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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