RationalExp

Rationalizing Rational Expectations. Tests and Deviations

We implement a test of the rational expectations hypothesis based on the marginal distributions of realizations and subjective beliefs from D'Haultfoeuille, Gaillac, and Maurel (2018) <doi:10.3386/w25274>. This test can be used in cases where realizations and subjective beliefs are observed in two different datasets that cannot be matched, or when they are observed in the same dataset. The package also computes the estimator of the minimal deviations from rational expectations than can be rationalized by the data.

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Package
RationalExp
Title
Rationalizing Rational Expectations. Tests and Deviations
Version
0.2.2
Description
We implement a test of the rational expectations hypothesis based on the marginal distributions of realizations and subjective beliefs from D'Haultfoeuille, Gaillac, and Maurel (2018) . This test can be used in cases where realizations and subjective beliefs are observed in two different datasets that cannot be matched, or when they are observed in the same dataset. The package also computes the estimator of the minimal deviations from rational expectations than can be rationalized by the data.
Depends
R (>= 3.0.0)
License
GPL-3
Encoding
UTF-8
LazyData
true
Suggests
knitr, rmarkdown
VignetteBuilder
knitr
RoxygenNote
6.1.0
Imports
snowfall, stats
NeedsCompilation
no
Packaged
2019-02-08 09:21:30 UTC; gaillac
Author
Xavier D'Haultfoeuille [aut], Christophe Gaillac [aut, cre], Arnaud Maurel [aut]
Maintainer
Christophe Gaillac
Repository
CRAN
Date/Publication
2019-02-08 10:13:24 UTC

install.packages('RationalExp')

0.2.2

13 days ago

Christophe Gaillac

GPL-3

Depends on

R (>= 3.0.0)

Imports

snowfall, stats

Suggests

knitr, rmarkdown

Discussions