On a Graphical Technique for Evaluating Some Rational Expectations Models
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On a Graphical Technique for Evaluating Some Rational Expectations Models. / Johansen, Søren; Swensen, Anders R. .
I: Journal of Time Series Econometrics, Bind 3, Nr. 1, 2011, s. Article 9.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - On a Graphical Technique for Evaluating Some Rational Expectations Models
AU - Johansen, Søren
AU - Swensen, Anders R.
PY - 2011
Y1 - 2011
N2 - Campbell and Shiller (1987) proposed a graphical technique for the present value model, which consists of plotting estimates of 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 of the fit of the model, the purpose is to see if the two spreads are nevertheless 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 illustrate the results by 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 estimates of 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 of the fit of the model, the purpose is to see if the two spreads are nevertheless 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 illustrate the results by two previous studies by Campbell and Shiller (1987) and Engsted (2002).
U2 - 10.2202/1941-1928.1089
DO - 10.2202/1941-1928.1089
M3 - Journal article
VL - 3
SP - Article 9
JO - Journal of Time Series Econometrics
JF - Journal of Time Series Econometrics
SN - 2194-6507
IS - 1
ER -
ID: 32643077