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The interpolation of time series by related series

Friedman, Milton - 1962

Persistent link: https://www.econbiz.de/10000668516

On Optimal Instrumental Variables Estimation of Stationary Time Series Models

West, Kenneth D. - 2000

In many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use of such moments in a parametric model. I also illustrate application of the condition in...

Persistent link: https://www.econbiz.de/10012471323

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

Eichenbaum, Martin S. - 1987

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a...

Persistent link: https://www.econbiz.de/10012476889

Asset Prices in a Time Series Model with Disparately Informed, Competative Traders

Singleton, Kenneth J. - 1986

receives private signals about the current values of a subset of the shocks, and (3) the equilibrium price conveys information … about the private signals and beliefs of other traders. Since prices convey information in this economy, traders will face … deduced in various imperfect information environments. Then the volatility and autocorrelations of prices in this model are …

Persistent link: https://www.econbiz.de/10012477178

A Time-Series Model of Housing Investment in the U.S

Rosen, Sherwin - 1986

A decentralized market theory of investment based on rising supply price is formulated and explained. Asset prices … embody all available information in a competitive market and serve as "sufficient statistics" for future market conditions …, because it pays to "build ahead of demand" in the presence of rising supply price. This model, similar to q-theory, assumes …

Persistent link: https://www.econbiz.de/10012477259

Alternative Nonnested Specification Tests of Time Series Investment Models

Bernanke, Ben - 1985

This paper develops and compares nonnested hypothesis tests for linear regression models with first-order serially correlated errors. It extends the nonnested testing procedures of Pesaran, Fisher and McAleer, and Davidson and MacKinnon, and compares their performance on four conventional models...

Persistent link: https://www.econbiz.de/10012477458

Testing the Random Walk Hypothesis : Power versus Frequency of Observation

Shiller, Robert J. - 1985

Persistent link: https://www.econbiz.de/10012477489

On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics

McCallum, Bennett T. - 1983

A number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions...

Persistent link: https://www.econbiz.de/10012477939

Identification in Dynamic Linear Models with Rational Expectations

Blanchard, Olivier J. - 1982

This paper characterizes identification in dynamic linear models. It shows that identification restrictions are linear in the structural parameters and are therefore easy to use. Using these restrictions, it analyzes the role of exogenous variables in helping to achieve identification

Persistent link: https://www.econbiz.de/10012478184

Alternative Prior Representations of Smoothness for Distributed Lag Estimation

Shiller, Robert J. - 1975

In some applications of the distributed lag model, theory requires that all lag coefficients have a positive sign. A …

Persistent link: https://www.econbiz.de/10012479037

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