COINTEGRATION AND TESTS OF PRESENT VALUE MODELS
COINTEGRATION AND TESTS OF PRESENT VALUE MODELS
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DOI：
10.1086/261502
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发表时间：
1987-10-01
影响因子：
8.2
通讯作者：
SHILLER, RJ
中科院分区：
文献类型：
--
作者：
CAMPBELL, JY;SHILLER, RJ
计量经济学的一些进展(协整向量自回归模型理论)的应用使我们能够有效地处理理性预期现值模型中的两个问题：时间序列的非平稳性和市场参与者信息的不完全数据。利用美国的数据，我们发现，理性预期理论的期限结构有一些相对令人鼓舞的新结果，而股票价格的现值模型则有一些令人费解的结果。
Application of some advances in econometrics (in the theory of cointegrated vector autoregressive models) enables us to deal effectively with two problems in rational expectations present value models: nonstationarity of time series and incomplete data on information of market participants. With US data, we find some relatively encouraging new results for the rational expectations theory of the term structure and some puzzling results for the present value model of stock prices.