×

zbMATH — the first resource for mathematics

Interpreting cointegrated models. (English) Zbl 0709.62528

MSC:
62-XX Statistics
PDF BibTeX XML Cite
Full Text: DOI
References:
[1] Aoki, M., ()
[2] Aoki, M., Control of large-scale dynamic systems by aggregation, (), 246-253, 1978, Distributed control
[3] Black,, Fisher, Noise, Journal of finance, 41, 529-543, (1986)
[4] Campbell, John Y., Does saving anticipate declining labor income? an alternative test of the permanent income hypothesis, Econometrica, 55, 1249-1273, (1987)
[5] Campbell, John Y.; Kyle, Albert S., Smart money, noise trading and stock price behavior, (1986), Princeton University Princeton, NJ, Unpublished paper, Sept. · Zbl 0825.90229
[6] Campbell, John Y.; Shiller, Robert J., A simple account of the behavior of long-term interest rates, American economic review, Papers and Proceedings, 74, 44-48, (1984)
[7] Campbell, John Y.; Shiller, Robert J., Cointegration and tests of present value models, Journal of political economy, 95, 1062-1088, (1987)
[8] Campbell, John Y.; Shiller, Robert J., The dividend-price ratio and expectations of future dividends and discount factors, (1987), Revised unpublished paper
[9] Davidson, James E.H.; Hendry, David F., Interpreting econometric evidence: the behavior of consumers’ expenditure in the U.K., European economic review, 16, 177-192, (1981)
[10] Davidson, James E.H.; Hendry, David F.; Srba, Frank; Yeo, Stephen, Econometric modelling of the aggregate time-series relationship between consumers’ expenditure and income in the united kingdom, Economic journal, 88, 661-692, (1978)
[11] DeBondt,, Werner; Thaler, Richard, Does the stock market overreact?, Journal of finance, 40, 793-805, (1985)
[12] Engle, Robert F.; Granger, C.W.J., Co-integration and error-correction: representation, estimation and testing, Econometrica, 55, 251-276, (1987) · Zbl 0613.62140
[13] Fama, Eugene F.; French, Kenneth R., Permanent and temporary components of stock prices, Center for research in security prices working paper no. 178, (1986)
[14] Flavin, Marjorie A., The adjustment of consumption to changing expectations about future income, Journal of political economy, 89, 974-1009, (1981)
[15] Granger, C.W.J., Some properties of time series data and their use in econometric model specification, Journal of econometrics, 16, 121-130, (1981)
[16] Granger, C.W.J., Cointegrated variables and error-correcting models, () · Zbl 0533.62095
[17] Granger, C.W.J., Developments in the study of cointegrated variables, Oxford bulletin of economics and statistics, 48, 213-228, (1986)
[18] Hall, Robert E., Stochastic implications of the life cycle-permanent income hypothesis: theory and evidence, Journal of political economy, 86, 971-987, (1978)
[19] Hansen, Lars P.; Sargent, Thomas J., Exact linear rational expectations models: specification and estimation, ()
[20] Hendry, David F., Econometric modelling: the ‘consumption function’ in retrospect, Scottish journal of political economy, 30, 193-220, (1983)
[21] Hendry, David F., Econometric modelling with cointegrated variables: an overview, Oxford bulletin of economics and statistics, 48, 201-212, (1986)
[22] Hendry, David F.; Richard, Jean-Francois, Econometric analysis of economic time series, International statistical review, 51, 111-164, (1983) · Zbl 0518.62096
[23] Kleidon, Allan W., Variance bounds tests and stock price valuation models, Journal of political economy, 94, 953-1001, (1986)
[24] Lintner,, John, Distribution of incomes of corporations among dividends, retained earnings, and taxes, American economic review, 61, 97-113, (1956)
[25] Marsh, Terry A.; Merton, Robert C., Dividend behavior for the aggregate stock market, Journal of business, 60, 1-40, (1987)
[26] Nickell,, Stephen, Error correction, partial adjustment and all that: an expository note, Oxford bulletin of economics and statistics, 47, 119-129, (1985)
[27] Phillips, A.W., Stabilization policy in a closed economy, Economic journal, 64, 290-323, (1954)
[28] Poterba, James M.; Summers, Lawrence H., Mean reversion in stock prices: evidence and implications, (1987), MIT Cambridge, MA, Unpublished paper
[29] Salmon,, Mark, Error correction mechanisms, Economic journal, 92, 615-629, (1982)
[30] Sargan, J.D., Wages and prices in the united kingdom: A study in econometric methodology, ()
[31] Shiller, Robert J., The volatility of long-term interest rates and expectations models of the term structure, Journal of political economy, 87, 1190-1219, (1979)
[32] Shiller, Robert J., The term structure of interest rates, () · Zbl 0979.01023
[33] Shiller, Robert J.; Campbell, John Y.; Schoenholtz, Kermit L., Forward rates and future policy: interpreting the term structure of interest rates, Brookings papers on economic activity, 1, 173-217, (1983)
[34] Sims, Christopher A., Exogeneity and causal ordering in macroeconomic models, ()
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.