Browsing FGV EPGE - Ensaios Econômicos by Title "Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions"
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Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2013-07-01It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2015-02-26Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ...
