The role of beliefs in inference for rational expectations models
By: Bruce N. Lehmann.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11758; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11758.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Economics -- Methodology.
Description: "This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions.  The null hypothesis is taken to be rational expectations and the alternative hypothesis to be distorted beliefs.  This distorted beliefs alternative is analyzed from the perspective of a hypothetical semiparametric Bayesian who believes the model and uses it to learn about the DGP.  This interpretation provides a different perspective on estimates, test statistics, and confidence regions in large samples, particularly regarding the economic significance of rejections of the model"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 12/8/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.