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.

Package details

AuthorXavier D'Haultfoeuille [aut], Christophe Gaillac [aut, cre], Arnaud Maurel [aut]
MaintainerChristophe Gaillac <[email protected]>
Package repositoryView on CRAN
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RationalExp documentation built on Feb. 8, 2019, 5:05 p.m.