TY  - JOUR
AU  - Abel,Andrew B.
AU  - Mishkin,Frederic S.
TI  - An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Monetary Policy
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 726
PY  - 1983
Y2  - September 1983
UR  - http://www.nber.org/papers/w0726
L1  - http://www.nber.org/papers/w0726.pdf
N1  - Author contact info:
Andrew B. Abel
Wharton School
University of Pennsylvania
2315 Steinberg Hall - Dietrich Hall
Philadelphia, PA  19104-6367
Tel: 215/898-4801
Fax: 215/573-7244
E-Mail: abel@wharton.upenn.edu

Frederic S. Mishkin
Columbia University
Graduate School of Business
Uris Hall 817
3022 Broadway
New York, NY 10027
Tel: 212-854-3488
Fax: 212/662-8474
E-Mail: fsm3@columbia.edu
AB  - This paper analyzes an important class of models in which expectations play an important role. Topics included in the analysis are tests of: (1) rationality of forecasts in either market or survey data, (2) capital market efficiency, (3) the short-run neutrality of monetary policy and, (4) Granger causality in macroeconometric models. The common elements of these tests are highlighted. In particular, cross-equation tests for rationality or the short-run neutrality of money are shown to be equivalent to more common regression tests in the literature. Also discussed are the conditions for identification and the implications for whether hypotheses are testable.
ER  -