PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY

DOI10.1017/S0266466607070521zbMath1237.62116MaRDI QIDQ2886984

Luca Fanelli

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization

Cites Work

• Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
• Testing exact rational expectations in cointegrated vector autoregressive models
• Dynamic adjustment cost models with forward‐looking behaviour
• Econometric tests of rationality and market efficiency
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables

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