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 language | English |
|---|---|
| Pages (from-to) | 296-302 |
| Number of pages | 7 |
| Journal | Review of Economics and Statistics |
| Volume | 78 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1996 Jan 1 |
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All Science Journal Classification (ASJC) codes
- Social Sciences (miscellaneous)
- Economics and Econometrics
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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 journal › Article
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 -