The Econometrics of the ‘Market Model’: Cointegration, Error Correction and Exogeneity
从现代时间序列计量经济学角度研究市场模型，探讨股票价格与指数非平稳性带来的协整问题，以及外生性、估计与推断，并用三个例子说明建模方法。
This paper investigates the market model from the perspective of modern time series econometrics, focusing upon the assumptions and restrictions that are made in order to arrive at the returns regression that is the market model. The fact that stock prices and indices are typically non-stationary leads naturally to the topic of cointegration, and the implications of this for the market model are developed. Exogeneity within cointegrated systems is considered, whilst testing, estimation and inferential issues are also discussed. Three examples are provided to illustrate the proposed methodology for modelling the relationship between a stock price and a market index.