Archivio per 16 agosto 2012

16
Ago
12

On the ‘restricted cointegrationtest’ as a test of the rational expectations hypothesis*

See on Scoop.itBounded Rationality and Beyond

One of the main consequences of the ‘cointegration revolution’ on the domain of the direct tests of the rational expectations hypothesis (REH) was the substitution of the ‘restricted cointegration test’ (RCT) for the ‘unbiasedness test’. However, the results of a Monte Carlo study show that a simple t-test can be much more powerful than the RCT. It is argued that the RCT is adequate to investigate the ‘asymptotic rationality’ but that it is not sufficient to assess the Muthian rationality of expectations. The discussion is empirically illustrated with the test of the REH for the Portuguese retail trade inflation expectations.

See on www.tandfonline.com

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16
Ago
12

The Failure of Financial Econometrics: Assessing the Cointegration “Revolution”

See on Scoop.itBounded Rationality and Beyond

One aspect of the failure of financial econometrics is the use of cointegration analysis for financial decision making and policy analysis. This paper demonstrates that the results obtained by using different cointegration tests vary considerably and that they are not robust with respect to model specification. It is also demonstrated that, contrary to what is claimed, cointegration analysis does not allow distinction between spurious relations and genuine ones. Some of the pillars of cointegration analysis are not supported by the results presented in this study. Specifically it is shown that cointegration does not necessarily imply, or is implied by, a valid error correction representation and that causality is not necessarily present in at least one direction. More importantly, however, cointegration analysis does not lead to sound financial decisions, and a better job can be done by using simple correlation analysis.

See on capco.com

16
Ago
12

Babies may not have a ‘moral compass’ after all

See on Scoop.itBounded Rationality and Beyond

New research from New Zealand’s University of Otago is casting doubt on a landmark US study that suggested infants as young as six months old possess an innate moral compass that allows them to evaluate individuals as ‘good’ or ‘bad’.

 

The 2007 study by Yale University researchers provided the first evidence that 6- and 10-month-old infants could assess individuals based on their behaviour towards others, showing a preference for those who helped rather than hindered another individual.

 

Based on a series of experiments, researchers in the Department of Psychology at Otago have shown that the earlier findings may simply be the result of infants’ preferences for interesting and attention grabbing events, rather than an ability to evaluate individuals based on their social interactions with others.

 

The Otago study was recently published in PLoS One, an international, peer-reviewed, open-access, online journal.

See on www.sciencedaily.com




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