In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different data sets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can then be rewritten as a system of many moment inequality and equality constraints, for which tests have been recently developed in the literature. The test is robust to measurement errors under some restrictions and can be extended to account for aggregate shocks. Finally, we apply our methodology to test for rational expectations about future earnings. While individuals tend to be right on average about their future earnings, our test strongly rejects rational expectations.

中文翻译：

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合理化理性预期：特征和测试

在本文中，我们基于实现和主观信念的边际分布构建了一个新的理性预期测试。该测试具有广泛的适用性，包括在无法匹配的两个不同数据集中观察到实现和信念的常见情况。我们表明，是否可以合理化理性预期相当于实现分布是信念分布的均值保持分布。然后可以将零假设改写为一个包含许多矩不等式和等式约束的系统，最近在文献中开发了这些测试。该测试对于某些限制下的测量误差是稳健的，并且可以扩展到考虑总冲击。最后，我们应用我们的方法来测试对未来收益的理性预期。