The Role of Beliefs in Inference for Rational Expectations Models

This paper had an unusually long gestation period. I want to thank Lars Hansen for a long conversation I had with him sometime in the last ten years (!) and to apologize to those with whom I have had helpful conversations that I have forgotten. I also want to thank seminar participants at the Federal Reserve Bank of New York, Hong Kong University of Science and Technology, the London School of Economics, Southern Methodist University, Syracuse University, the University of Alberta, the University of Arizona, the University of California at San Diego, the University of Houston, and Yale University, students at the 2002 SSRC Summer Workshop in Applied Economics: Risk and Uncertainty, and conference participants at The First Symposium on Econometric Theory and Application. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

• November 9, 2005