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Cochrane, John H.
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ECONIS (ZBW)
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Multivariate estimates of the permanent components of GNP and stock prices
Cochrane, John H.
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1988
Persistent link: https://www.econbiz.de/10001269092
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12
Continuous-Time Linear Models
Cochrane, John H.
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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/10013104725
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13
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to continuous-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/10013105103
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14
Univariate vs. Multivariate Forecasts of Gnp Growth and Stock Returns : Evidence and Implications for the Persistence of Shocks, Detrending Methods
Cochrane, John H.
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2021
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/10013228027
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