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

DOI10.1016/J.JECONOM.2012.07.002zbMATH Open1443.62515OpenAlexW2127562698MaRDI QIDQ528078FDOQ528078

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

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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)

Cites Work

• Title not available (Why is that?)
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• Time Series Regression with a Unit Root
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Cited In (2)

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

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