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)

Abstract

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
Volume78
Issue number2
DOIs
Publication statusPublished - 1996 Jan 1

Fingerprint

rationality
bill
Rationality
Survey data
Testing
Method of moments
Wald test
Bootstrap method
Heteroskedasticity
Standard error
Size distortion
Critical value
Measurement error

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Cite this

@article{4edba24cc30e4ca88d804d348319d121,
title = "Testing the rationality of survey data using the weighted double-bootstrapped method of moments",
abstract = "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.",
author = "Jinook Jeong and Maddala, {G. S.}",
year = "1996",
month = "1",
day = "1",
doi = "10.2307/2109931",
language = "English",
volume = "78",
pages = "296--302",
journal = "Review of Economics and Statistics",
issn = "0034-6535",
publisher = "MIT Press Journals",
number = "2",

}

Testing the rationality of survey data using the weighted double-bootstrapped method of moments. / Jeong, Jinook; Maddala, G. S.

In: Review of Economics and Statistics, Vol. 78, No. 2, 01.01.1996, p. 296-302.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Testing the rationality of survey data using the weighted double-bootstrapped method of moments

AU - Jeong, Jinook

AU - Maddala, G. S.

PY - 1996/1/1

Y1 - 1996/1/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0030551054&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0030551054&partnerID=8YFLogxK

U2 - 10.2307/2109931

DO - 10.2307/2109931

M3 - Article

AN - SCOPUS:0030551054

VL - 78

SP - 296

EP - 302

JO - Review of Economics and Statistics

JF - Review of Economics and Statistics

SN - 0034-6535

IS - 2

ER -