On a Graphical Technique for Evaluating Some Rational Expectations Models

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Standard

On a Graphical Technique for Evaluating Some Rational Expectations Models. / Johansen, Søren; Swensen, Anders R. .

I: Journal of Time Series Econometrics, Bind 3, Nr. 1, 2011, s. Article 9.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S & Swensen, AR 2011, 'On a Graphical Technique for Evaluating Some Rational Expectations Models', Journal of Time Series Econometrics, bind 3, nr. 1, s. Article 9. https://doi.org/10.2202/1941-1928.1089

APA

Johansen, S., & Swensen, A. R. (2011). On a Graphical Technique for Evaluating Some Rational Expectations Models. Journal of Time Series Econometrics, 3(1), Article 9. https://doi.org/10.2202/1941-1928.1089

Vancouver

Johansen S, Swensen AR. On a Graphical Technique for Evaluating Some Rational Expectations Models. Journal of Time Series Econometrics. 2011;3(1):Article 9. https://doi.org/10.2202/1941-1928.1089

Author

Johansen, Søren ; Swensen, Anders R. . / On a Graphical Technique for Evaluating Some Rational Expectations Models. I: Journal of Time Series Econometrics. 2011 ; Bind 3, Nr. 1. s. Article 9.

Bibtex

@article{5449faacc64a4fd5b681b96428727129,
title = "On a Graphical Technique for Evaluating Some Rational Expectations Models",
abstract = "Campbell and Shiller (1987) proposed a graphical technique for the present value model, which consists of plotting estimates of the spread and theoretical spread as calculated from the cointegrated vector autoregressive model without imposing the restrictions implied by the present value model. In addition to getting a visual impression of the fit of the model, the purpose is to see if the two spreads are nevertheless similar as measured by correlation, variance ratio, and noise ratio. 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 illustrate the results by two previous studies by Campbell and Shiller (1987) and Engsted (2002).",
author = "S{\o}ren Johansen and Swensen, {Anders R.}",
year = "2011",
doi = "10.2202/1941-1928.1089",
language = "English",
volume = "3",
pages = "Article 9",
journal = "Journal of Time Series Econometrics",
issn = "2194-6507",
publisher = "De Gruyter",
number = "1",

}

RIS

TY - JOUR

T1 - On a Graphical Technique for Evaluating Some Rational Expectations Models

AU - Johansen, Søren

AU - Swensen, Anders R.

PY - 2011

Y1 - 2011

N2 - Campbell and Shiller (1987) proposed a graphical technique for the present value model, which consists of plotting estimates of the spread and theoretical spread as calculated from the cointegrated vector autoregressive model without imposing the restrictions implied by the present value model. In addition to getting a visual impression of the fit of the model, the purpose is to see if the two spreads are nevertheless similar as measured by correlation, variance ratio, and noise ratio. 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 illustrate the results by two previous studies by Campbell and Shiller (1987) and Engsted (2002).

AB - Campbell and Shiller (1987) proposed a graphical technique for the present value model, which consists of plotting estimates of the spread and theoretical spread as calculated from the cointegrated vector autoregressive model without imposing the restrictions implied by the present value model. In addition to getting a visual impression of the fit of the model, the purpose is to see if the two spreads are nevertheless similar as measured by correlation, variance ratio, and noise ratio. 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 illustrate the results by two previous studies by Campbell and Shiller (1987) and Engsted (2002).

U2 - 10.2202/1941-1928.1089

DO - 10.2202/1941-1928.1089

M3 - Journal article

VL - 3

SP - Article 9

JO - Journal of Time Series Econometrics

JF - Journal of Time Series Econometrics

SN - 2194-6507

IS - 1

ER -

ID: 32643077