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~person:"Cochrane, John H."
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Cochrane, John H.
Gil-Alaña, Luis A.
340
Caporale, Guglielmo Maria
260
Phillips, Peter C. B.
237
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215
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ECONIS (ZBW)
14
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1
Univariate vs. Multivariate Forecasts of Gnp Growth and Stock Returns : Evidence and Implications for the Persistence of Shocks, Detrending Methods
Cochrane, John H.
-
2021
Lagged GNP growth rates are poor forecasts of future GNP growth rates in postwar US data, leading to the impression that GNP is nearly a random walk. However, other variables, and especially the lagged consumption/GNP ratio, do forecast long-horizon GNP growth, and show that GNP has temporary...
Persistent link: https://www.econbiz.de/10013228027
Saved in:
2
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013104725
Saved in:
3
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to continuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013105103
Saved in:
4
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10012460479
Saved in:
5
Continuous-time linear models
Cochrane, John H.
-
2012
Persistent link: https://www.econbiz.de/10009710832
Saved in:
6
Continuous-time linear models
Cochrane, John H.
-
2012
Persistent link: https://www.econbiz.de/10009561276
Saved in:
7
Financial markets and the real economy
Cochrane, John H.
- In:
Handbook of the equity risk premium
,
(pp. 237-325)
.
2008
Persistent link: https://www.econbiz.de/10003598621
Saved in:
8
Financial markets and the real economy : discussion
Hansen, Lars Peter
- In:
Handbook of the equity risk premium
,
(pp. 326-329)
.
2008
Persistent link: https://www.econbiz.de/10003598625
Saved in:
9
Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns : Evidence and Implications for the Persistence of Shocks, Detrending Methods
Cochrane, John H.
-
1990
Lagged GNP growth rates are poor forecasts of future GNP growth rates in postwar US data, leading to the impression that GNP is nearly a random walk. However, other variables, and especially the lagged consumption/GNP ratio, do forecast long-horizon GNP growth, and show that GNP has temporary...
Persistent link: https://www.econbiz.de/10012475603
Saved in:
10
A critique of the application of unit root tests
Cochrane, John H.
- In:
Journal of economic dynamics & control
15
(
1991
)
2
,
pp. 275-284
Persistent link: https://www.econbiz.de/10001099501
Saved in:
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