Cointegration and Tests of Present Value Models

John Campbell and Robert Shiller

Scholarly Articles from Harvard University Department of Economics

Abstract: Application of some advances in econometrics (in the theory of co-integrated vector autoregressive models) enables us to deal effectively with two problems in rational expectations present value models: nonstationarity of time series and incomplete data on information of market participants. With U.S. data, we find some relatively encouraging new results for the rational expectations theory of the term structure and some puzzling results for the present value model of stock prices.

Date: 1987
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Published in Journal of Political Economy

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Related works:
Journal Article: Cointegration and Tests of Present Value Models (1987)
Working Paper: Cointegration and Tests of Present Value Models (1986)
Working Paper: Cointegration and Tests of Present Value Models (1986)
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