Multivariate estimates of the permanent components of GNP and stock prices

DOI10.1016/0165-1889(88)90042-5zbMath0646.62108OpenAlexW2150838399MaRDI QIDQ1104023

Argia M. Sbordone, John H. Cochrane

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

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

zbMATH Keywords

stationaritystock pricesconsumption/income ratiodividend/price ratiopermanent components of GNPrandom walk component

Mathematics Subject Classification ID

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

Related Items (5)

Asset prices and the fundamentals: a Q test ⋮ Solving asset pricing models with Gaussian shocks ⋮ Directed attention and nonparametric learning ⋮ Do TFP and the relative price of investment share a common I(1) component? ⋮ A critique of the application of unit root tests

Cites Work

• Testing for cointegration using principal components methods
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Multiple Time Series Regression with Integrated Processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Are Output Fluctuations Transitory?
• Unnamed Item
• Unnamed Item

This page was built for publication: Multivariate estimates of the permanent components of GNP and stock prices