Cointegration and Tests of Present Value Models

Preprint
Publisher Website
Google Scholar
    • preprint
      • Published in RePEc
Abstract
Application of some advances in econometrics (in the theory of co-integrated vector autoregressive models) enables us to deal effectively with two problems in rational expectations present value models: nonstationarity of time series and incomplete data on information of market participants. With U.S. data, we find some relatively encouraging new results for the rational expectations theory of the term structure and some puzzling results for the present value model of stock prices.
All Related Versions

This publication has 0 references indexed in Scilit: