On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
Publikation: Working paper › Forskning
Standard
On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations. / Johansen, Søren; Swensen, Anders Rygh.
Department of Economics, University of Copenhagen, 2009.Publikation: Working paper › Forskning
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - UNPB
T1 - On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
AU - Johansen, Søren
AU - Swensen, Anders Rygh
N1 - JEL classification: C32
PY - 2009
Y1 - 2009
N2 - Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a general definition of spread and theoretical spread. The main results are the asymptotic distributions of the variance ratio, noise ratio, and correlation between the estimated spread and theoretical spreads. We derive sup tests for the recursively calculated quantities. Finally we apply the methods to two previous studies by Campbell and Shiller (1987) and Engsted (2002).
AB - Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a general definition of spread and theoretical spread. The main results are the asymptotic distributions of the variance ratio, noise ratio, and correlation between the estimated spread and theoretical spreads. We derive sup tests for the recursively calculated quantities. Finally we apply the methods to two previous studies by Campbell and Shiller (1987) and Engsted (2002).
M3 - Working paper
BT - On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
PB - Department of Economics, University of Copenhagen
ER -
ID: 12301117