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

Beskrivelse

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 without imposing the restrictions implied by the present value model. In addition to getting a visual impression the purpose is to see if the two spreads are never-the-less similar as measured by correlation, variance ratio, and noise ratio. 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).

Periode	20 sep. 2001
Begivenhedstitel	On a numerical and graphical technique for evaluating some models involving rational expectations
Begivenhedstype	Konference
Arrangør	Aarhus Universitet
Placering	Koldingfjord, DanmarkVis på kort