论文标题
合理的理性期望：表征和测试
Rationalizing Rational Expectations: Characterization and Tests
论文作者
论文摘要
在本文中，我们基于实现和主观信念的边际分布建立了对理性期望的新测试。该测试广泛适用，包括在共同情况下，在两个不同的数据集中观察到实现和信念。我们表明，是否可以合理化理性期望等同于实现的分布是信念分布的平均保护传播。然后可以将无效假设重写为许多时刻不平等和平等约束的系统，最近在文献中开发了测试。该测试对于在某些限制下的测量错误是可靠的，可以扩展以考虑总冲击。最后，我们运用我们的方法来测试对未来收益的合理期望。尽管个人对未来收入的平均水平往往是正确的，但我们的测试强烈拒绝理性的期望。
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can then be rewritten as a system of many moment inequality and equality constraints, for which tests have been recently developed in the literature. The test is robust to measurement errors under some restrictions and can be extended to account for aggregate shocks. Finally, we apply our methodology to test for rational expectations about future earnings. While individuals tend to be right on average about their future earnings, our test strongly rejects rational expectations.
