| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25274 |
| 来源ID | Working Paper 25274 |
| Rationalizing Rational Expectations? Tests and Deviations | |
| Xavier D'; Haultfoeuille; Christophe Gaillac; Arnaud Maurel | |
| 发表日期 | 2018-11-19 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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 in two different datasets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can then be rewritten as a system of many moment inequality and equality constraints, for which tests have been recently developed in the literature. Next, we go beyond testing by defining and estimating the minimal deviations from rational expectations that can be rationalized by the data. In the context of structural models, we build on this concept to propose an easy-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and quantify deviations from rational expectations about future earnings, and examine the consequences of such departures in the context of a life-cycle model of consumption. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Households and Firms ; Economics of Information |
| URL | https://www.nber.org/papers/w25274 |
| 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/582948 |
| 推荐引用方式 GB/T 7714 | Xavier D',Haultfoeuille,Christophe Gaillac,et al. Rationalizing Rational Expectations? Tests and Deviations. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25274.pdf（938KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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