Asset prices set in a competitive market need not be martingales; that is, it need not be true that the best predictor of future prices is the current price. Nonetheless, statistical tests for this property are sometimes treated as tests for the proper functioning of an asset market; asset...

Vector autoregressive (VAR) models are among the most widely used econometric tools in the fields of macroeconomics and financial economics. Much of what we know about the response of the economy to macroeconomic shocks and about how various shocks have contributed to the evolution of...