Hecq, Alain; Issler, João Victor - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2012
It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it...