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摘要翻译：
在本文中，我们建立了一个新的基于实现和主观信念的边际分布的理性预期检验。该测试具有广泛的适用性，包括在两个无法匹配的不同数据集中观察到的实现和信念的常见情况下。我们证明，一个人是否能使理性期望合理化，等同于实现的分布是信念分布的一个保持均值的扩展。然后，零假设可以被改写为一个由多个矩不等式和等式约束组成的系统，对此，最近在文献中提出了一些检验。该检验在某些限制条件下对测量误差具有鲁棒性，并可扩展到考虑总体冲击。最后，我们运用我们的方法来检验对未来收益的理性预期。虽然个人对未来收入的平均预测往往是正确的，但我们的测试强烈拒绝理性预期。
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英文标题：
《Rationalizing Rational Expectations: Characterization and Tests》
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作者：
Xavier D'Haultfoeuille, Christophe Gaillac and Arnaud Maurel
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/2003.11537
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