A dynamic time series LInear Structural RELation (LISREL) model is proposed for the analysis of stationary multivariate time series. The model is suitable not only for macro models, but also for panel data models. The implied covariance matrix is derived and it may be used in exact maximum...

The behaviour of Swedish stock returns over short and long-run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s little evidence of long-run dependence was found. Using three different tests that are robust to...