Testing the rationality of survey data using the weighted double-bootstrapped method of moments

Jinook Jeong, G. S. Maddala

Research output: Contribution to journalArticle

11 Citations (Scopus)


Conventional tests for rationality of survey data on expectations are not valid in the presence of measurement errors. However, if two or more survey measures of expectations are available on the true unobserved expectational variables, we can devise the appropriate FIML estimation methods and Wald tests for rationality. This paper uses this method for survey data on expectations for the 90-day Treasury bill rates. However, the Wald tests would be based on inaccurate standard errors in the presence of heteroskedasticity, and also be subject to size distortions if asymptotic critical values are used. The present paper corrects these two problems using a weighted double bootstrap method.

Original languageEnglish
Pages (from-to)296-302
Number of pages7
JournalReview of Economics and Statistics
Issue number2
Publication statusPublished - 1996 May


All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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