Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59455
Authors: 
Corradi, Valentina
Fernandez, Andres
Swanson, Norman R.
Year of Publication: 
2011
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, the State University of New Jersey 2011,07
Abstract: 
Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests that have power against generic nonlinear alternatives. A Monte Carlo study shows that the suggested tests have good finite sample properties.Additionally, we carry out an empirical illustration using a real-time dataset for money, output, and prices. Overall, we find evidence against data rationality for output and prices, but not for money.
Subjects: 
bias
efficiency
generically comprehensive tests
rationality
preliminary
final
real-time data
JEL: 
C32
C53
E01
E37
E47
Document Type: 
Working Paper

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