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Cointegration and Tests of Present Value Models

John Campbell () and Robert Shiller ()

Journal of Political Economy, 1987, vol. 95, issue 5, 1062-88

Abstract: Application of some advances in econometrics (in the theory of cointegrated vector autoregressive models) enables us to deal effectively with two problems in rational-expectations, present-valu e models: nonstationarity of time series and incomplete data on infor mation of market participants. With U.S. data, the authors find some relatively encouraging new results for the rational-expectations theo ry of the term structure and some puzzling results for the present-va lue model of stock prices. Copyright 1987 by University of Chicago Press.

Date: 1987
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