On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

Soren Johansen and Anders Rygh Swensen
Additional contact information
Anders Rygh Swensen: University of Oslo and Statistics Norway

No 09-10, Discussion Papers from University of Copenhagen. Department of Economics

Abstract: 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).

Keywords: VAR models; cointegration; rational expectations (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2009-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econ.ku.dk/english/research/publications/wp/dp_2009/____.pdf/ (application/pdf)

Related works:
Working Paper: On a numerical and graphical technique for evaluating some models involving rational expectations (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:0910

Access Statistics for this paper

More papers in Discussion Papers from University of Copenhagen. Department of Economics Oester Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Hoffmann ().