A STUDY OF POSSIBLE GAINS FROM INTERNATIONAL INVESTMENT AND THE STATIONARITY OF INTER‐COUNTRY CORRELATION COEFFICIENTS: A COMMENT
评论了Watson的两篇论文，指出其混淆了国家间相关结构稳定的必要与充分条件，且实证结果不具结论性，导致误导性结论。即使相关系数平稳，也无法直接从事后数据估计事前相关性，除非已知随机过程。文章建议间接检验相关结构稳定性的替代方法，并指出基准货币选择进一步限制了Watson的发现。
This comment discusses two previous papers in this journal by J. Watson. It is shown that a confusion between necessary and sufficient conditions for the stability of the inter‐country correlation structure, and inconclusive empirical results led Watson to some misleading conclusions. It is also demonstrated that even if inter‐country correlation coefficients are stationary, ex‐ante correlations cannot be estimated directly from ex‐post data unless the underlying stochastic process is known. Alternative methods of examining the stability of the correlation structure indirectly are suggested. Furthermore it is argued that the choice of the base currency further limits Watson's findings.