Dittmar, Robert F. (contributor); … - 2003 - [Elektronische Ressource]
� liate, Centre for Economic
Policy Research (CEPR). Tel: +44-2476-528219; e-mail: lucio.sarno@warwick.ac.uk. Dr Giorgio …, where xt 1 is a vector formed from stacking lagged values of
yt, and possibly with a constant term. zt is de�ned as y0t;x0t …, the EH implies that
(7) rnt = 1k
k 1X
i=0
Et rmt+mi ;
so that the EH can be equivalently expressed as
(8) e02xt = 1k
k 1X …