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expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration … there exist a cointegration relation between US percapita disposable income and consumption, after correction for …
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A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
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. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
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cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …
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