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A note on the unbiasedness test of rationality using survey data
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McAleer, M. and Smith, Jeremy (1994) A note on the unbiasedness test of rationality using survey data. Journal of Macroeconomics, Volume 16 (Number 2). pp. 369-374. doi:10.1016/0164-0704(94)90078-7 ISSN 0164-0704.
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Official URL: http://dx.doi.org/10.1016/0164-0704(94)90078-7
Abstract
This paper examines the performance of the unbiasedness test of rationality using survey data by accounting for measurement errors associated with the survey expectations, and also the generated regressor problem arising from the quantitative expectations having been generated from an auxiliary equation. It is shown that ignoring the generated regressor problem can yield incorrect coefficient estimates and markedly larger standard error estimates, which could lead to an incorrect acceptance of a false null hypothesis.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Journal of Macroeconomics | ||||
Publisher: | Elsevier BV * North-Holland | ||||
ISSN: | 0164-0704 | ||||
Official Date: | 1994 | ||||
Dates: |
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Volume: | Volume 16 | ||||
Number: | Number 2 | ||||
Number of Pages: | 6 | ||||
Page Range: | pp. 369-374 | ||||
DOI: | 10.1016/0164-0704(94)90078-7 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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