Cointegration and Tests of Present Value Models
利用协整向量自回归模型的新进展，处理理性预期现值模型中的时间序列非平稳和市场参与者信息不完整问题。基于美国数据，对期限结构的理性预期理论得到较积极结果，但对股票价格的现值模型发现一些令人困惑的结果。
Application of some advances in econometrics (in the theory of cointegrated vector autoregressive models) enables us to deal effectively with two problems in rational-expectations, present-valu e models: nonstationarity of time series and incomplete data on infor mation of market participants. With U.S. data, the authors find some relatively encouraging new results for the rational-expectations theo ry of the term structure and some puzzling results for the present-va lue model of stock prices. Copyright 1987 by University of Chicago Press.