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On a numerical and graphical technique for evaluating some models involving rational expectations

Publikation: Working paper/Preprint › Working paper › Forskning

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  • Rp09 19

    Forlagets udgivne version, 271 KB, PDF-dokument

  • Søren Johansen
  • Anders Rygh Swensen, University of Oslo and Statistics Norway, Norge
  • Institut for Økonomi
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 de¯nition 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).
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider27
StatusUdgivet - 2009

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