Multivariate estimates of the permanent components of GNP and stock prices

DOI10.1016/0165-1889(88)90042-5MaRDI QIDQ1104023zbMATH OpenOpenAlexFDO

Authors John H. Cochrane, Argia M. Sbordone

Publication date 1988

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(88)90042-5

zbMATH Keywords

consumption/income ratiodividend/price ratiopermanent components of GNPrandom walk componentstationaritystock prices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Economic time series analysis (91B84)

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Cites work

• Are output fluctuations transitory?
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• scientific article; zbMATH DE number 3528420 (Why is no real title available?)
• scientific article; zbMATH DE number 3454717 (Why is no real title available?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Multiple Time Series Regression with Integrated Processes
• Testing for cointegration using principal components methods

Cited in

(9)

• Identifying permanent and temporary components in daily and monthly Japanese stock prices
• Solving asset pricing models with Gaussian shocks
• Measuring the temporary component of stock prices: robust multivariate analysis
• Do TFP and the relative price of investment share a common I(1) component?
• Directed attention and nonparametric learning
• scientific article; zbMATH DE number 3896167 (Why is no real title available?)
• Asset prices and the fundamentals: a Q test
• The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
• A critique of the application of unit root tests

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