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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

Type
Article accepté pour publication ou publié
Date
1986
Journal name
European Economic Review
Volume
30
Number
2
Publisher
Elsevier
Pages
265-284
Publication identifier
Metadata
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Author(s)
Gouriéroux, Christian
Pradel, Jacqueline
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 / Keywords
test procedures; rational expectation