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...

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...