Econometric tests of rationality and market efficiency
- 1 January 1989
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 8 (2) , 151-186
- https://doi.org/10.1080/07474938908800165
Abstract
Many economic theories give rise to restrictions between the future rational expectations of a set of variables. This paper describes how such theories can be tested from vector time series models. Particular attention is given to problems of nonstationarity and the use of the concept of cointegration in the modeling and testing procedure.Keywords
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