Modeling Stock Prices without Knowing How to Induce Stationarity
重新评估了1994年一篇论文中关于股票价格现值模型约束的后验概率计算，修正了因遗漏雅可比矩阵和积分常数导致的错误，并报告了显著不同的新结果。
In “Modeling Stock Prices without Knowing How to Induce Stationarity” (1994, Econometric Theory 10, 701–719), we used posterior-odds calculations to evaluate restrictions imposed by a present-value model of stock prices across the equations of a VAR representation of stock prices and dividends. The results we reported are tainted by the omission of two factors: the Jacobians induced by the mapping of our priors over VAR parameters β into the restricted sample spaces relevant under hypotheses H 2 -H 4 (hence, tainting our calculations of p ( H i |y,X) in (22) for i = 2–4), and an integrating constant needed in calculating the unrestricted probability p ( H i |y,X) in (22). Table 1 reports our revised calculations, which differ substantively from those reported previously.