We consider a prototypical representative-agent forward-looking model, and study the low frequency variability of the data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this context can generate strong persistence. The degree of...

Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected by the presence of deterministic trends. We consider the recent approach of Demetrescu et al. (2009) who recommend testing a composite null. We assess this methodology in the...

This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be stationary with or without fat tails, unit-root nonstationary...