Modeling Stock Prices without Knowing How to Induce Stationarity

David N. DeJong () and Charles H. Whiteman ()

Econometric Theory, 1996, vol. 12, issue 04, pages 739-740

Abstract: In (1994, Econometric Theory 10, 701 into the restricted sample spaces relevant under hypotheses H2-H4 (hence, tainting our calculations of p(Hi|y,X) in (22) for i = 2 4), and an integrating constant needed in calculating the unrestricted probability p(Hi|y,X) in (22). Table 1 reports our revised calculations, which differ substantively from those reported previously.

Date: 1996

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Journal Article: Modeling Stock Prices without Knowing How to Induce Stationarity (1994)
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