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Creator: Kollintzas, Tryphon, 1953- Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 352 Abstract:
This paper derives a variance bounds test for a broad class of linear rational expectations models. According to this test if observed data accords with the model, then a weighted sum of autocovariances of the covariance-stationary components of the endogenous state variables should be nonnegative. The new test reinterprets its forefather—West's  variance bounds test— and extends its applicability by not requiring exogenous state variables in order to be tested. The possibility of the test's application to nonlinear models is also discussed.
Palabra clave: Overlapping generations models, Inventory, and Macroeconomics Tema: C52 - Model Evaluation, Validation, and Selection and E22 - Investment; Capital; Intangible Capital; Capacity