RT Generic
T1 Multicointegration and present value relations
A1 Engsted, Tom
A1 Gonzalo, JesÃºs
A1 Haldrup, Niels
A2 Universidad Carlos III de Madrid. Departamento de EstadÃstica,
AB It is well-known that if the forcing variable of a present value (PV) model is an integrated process, then the model will give rise to a particular cointegrating restriction. In this paper we demostrate that if the PV relation is exact, such that no additive error term appears in the specification, then te variables will be multicointegrated such that the cumlation of cointegration errors at one level of cointegration will cointegrate with the forcing variable. Multicointegration thus delivers a statistical property of the data that is necessary, though not sufficient, for this class of models to be valido Estimation and inference of the model are discussed and it is shown that, provided me PV relation is exact, the discount factor of the model can be estimated with arate of convergence that is faster than the usual super-consistent rate characterising estimators in the cointegration literature. Finally, the paper is completed with two empirical analyses of PV models using term structure data and farmland data, respectively.
YR 1996
FD 1996-01
LK https://hdl.handle.net/10016/4540
UL https://hdl.handle.net/10016/4540
LA eng
DS e-Archivo
RD 8 ago. 2024