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Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...

Persistent link: https://www.econbiz.de/10012477190

Estimating the Long-Run Relationship Between Interest Rates and Inflation : A Response to McCallum

Summers, Lawrence H. - 1984

This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...

Persistent link: https://www.econbiz.de/10012477640

Low-Frequency Robust Cointegration Testing

Müller, Ulrich - 2009

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

Persistent link: https://www.econbiz.de/10012463358

Identification with Imperfect Instruments

Nevo, Aviv - 2008

Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...

Persistent link: https://www.econbiz.de/10012464213

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Benzoni, Luca - 2005

, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes … shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital …

Persistent link: https://www.econbiz.de/10012467438

The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. - 2004

I review and interpret two of Robert Engle's most important contributions: the theory and application of cointegration …

Persistent link: https://www.econbiz.de/10012468270

Understanding Trend and Cycle in Asset Values : Reevaluating the Wealth Effect on Consumption

Lettau, Martin - 2003

Both textbook economics and common sense teach us that the value of household wealth should be related to consumer spending. At the same time, movements in asset values often seem disassociated with important movements in consumer spending, as episodes such as the 1987 stock market crash and the...

Persistent link: https://www.econbiz.de/10012468849

Dynamic Seemingly Unrelated Cointegrating Regression

Mark, Nelson C. - 2003

Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...

Persistent link: https://www.econbiz.de/10012469103

Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

Mark, Nelson C. - 2002

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed …

Persistent link: https://www.econbiz.de/10012469343

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …This paper develops parameter instability and structural change tests within predictive regressions for economic … that are constructed using the Local speCtruM (LCM) approach. The new tests cover both parameter variation and multiple …

Persistent link: https://www.econbiz.de/10012496124