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Econometric tests of rationality and market efficiency (with comments by D. K. Backus and A. W. Gregory, F. S. Mishkin, R. J. Shiller, M. R. Wickens and reply). (English) Zbl 0718.62284
Summary: 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 procedures.

MSC:
62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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