Econometric analysis of present value models when the discount factor is near one

DOI10.1016/J.JECONOM.2012.07.002MaRDI QIDQ528078zbMATH OpenOpenAlexFDO

Authors Kenneth D. West

Publication date 12 May 2017

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w18247.pdf, http://www.sciencedirect.com/science/article/pii/S030440761200173X

zbMATH Keywords

random walkefficient marketsexchange rateasset priceexpected returnforward premium anomalyforward ratemartingale modeluncovered interest parity

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Time Series Regression with a Unit Root

Cited in

(2)

• Perpetual learning and apparent long memory
• Estimation and inference in the linear-quadratic inventory model

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