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Bayesian procedures for evaluating linear restrictions imposed by economic theory on dynamic econometric models are applied to a simple class of presentvalue models of stock prices. The procedures generate inferences that are not conditional on ancillary assumptions regarding the nature of the...
Persistent link: https://www.econbiz.de/10005411874
In “Modeling Stock Prices without Knowing How to Induce Stationarity” (1994, <italic>Econometric Theory</italic> 10, 701–719), we used posterior-odds calculations to evaluate restrictions imposed by a present-value model of stock prices across the equations of a VAR representation of stock prices and...
Persistent link: https://www.econbiz.de/10005610470