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Univariate v[ersu]s multivariate forecasts of GNP growth and stock returns : evidence and implications for the persistence of shocks, detrending methods, and tests of the permanent...

Cochrane, John H. - 1990

Persistent link: https://www.econbiz.de/10000802322

A critique of the application of unit root tests

Cochrane, John H. - In: Journal of economic dynamics & control 15 (1991) 2, pp. 275-284

Persistent link: https://www.econbiz.de/10001099501

How big is the random walk in GNP?

Cochrane, John H. - In: Journal of political economy 96 (1988) 5, pp. 893-920

Persistent link: https://www.econbiz.de/10001063859

Volatility tests and efficient markets : a review essay

Cochrane, John H. - In: Journal of monetary economics 27 (1991) 3, pp. 463-485

Persistent link: https://www.econbiz.de/10001108299

Continuous-time linear models

Cochrane, John H. - 2012

Persistent link: https://www.econbiz.de/10009561276

Continuous-time linear models

Cochrane, John H. - 2012

Persistent link: https://www.econbiz.de/10009710832

Financial markets and the real economy

Cochrane, John H. - In: Handbook of the equity risk premium, (pp. 237-325). 2008

Persistent link: https://www.econbiz.de/10003598621

Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns : Evidence and Implications for the Persistence of Shocks, Detrending Methods

Cochrane, John H. - 1990

Lagged GNP growth rates are poor forecasts of future GNP growth rates in postwar US data, leading to the impression that GNP is nearly a random walk. However, other variables, and especially the lagged consumption/GNP ratio, do forecast long-horizon GNP growth, and show that GNP has temporary...

Persistent link: https://www.econbiz.de/10012475603

Continuous-Time Linear Models

Cochrane, John H. - 2012

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas

Persistent link: https://www.econbiz.de/10012460479

Multivariate estimates of the permanent components of GNP and stock prices

Cochrane, John H. - 1988

Persistent link: https://www.econbiz.de/10001269092