On a numerical and graphical technique for evaluating some models involving rational expectations
AbstractCampbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a general de¯nition of spread and theoretical spread. The main results are the asymptotic distributions of the variance ratio, noise ratio, and correlation between the estimated spread and theoretical spreads. We derive sup tests for the recursively calculated quantities. Finally we apply the methods to two previous studies by Campbell and Shiller (1987) and Engsted (2002).
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-19.
Date of creation: 12 May 2009
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Web page: http://www.econ.au.dk/afn/
VAR models; cointegration; rational expectations;
Other versions of this item:
- Søren Johansen & Anders Rygh Swensen, 2009. "On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations," Discussion Papers 09-10, University of Copenhagen. Department of Economics.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-30 (All new papers)
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