Testing the Rational-Expectations Hypothesis: Further Evidence
用美国季度数据检验宏观理性预期假说中的理性与中性假设，通过向量自回归模型和Wald检验，结果支持理性但不支持中性。
Abstract This article tests the macro rational-expectations hypotheses of rationality and neutrality for quarterly U.S. data. The vector autoregressive representation is derived, and the implied interequation nonlinear restrictions are tested using the Wald statistic. Despite several modifications adopted here, the results confirm the robustness of earlier findings—that is, the test results support rationality but not neutrality. KEY WORDS: NeutralityRationalityVAR modelsWald test