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Does consumption-wealth ratio signal stock returns? : VECM results for Germany
Fang, Xu (contributor) - 2005
This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performances of...
Persistent link: https://www.econbiz.de/10002633392
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Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany
Xu, Fang - 2009
This paper studies the signalling effect of the consumption-wealth ratio (cay) on German stock returns via vector error correction models (VECMs). The effect of cay on U.S. stock returns has been recently confirmed by Lettau and Ludvigson with a two-stage method. In this paper, performance of...
Persistent link: https://www.econbiz.de/10013154587
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Testing for the cointegrating rank of a VAR process with an intercept
Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 16 (2000) 3, pp. 373-406
Persistent link: https://www.econbiz.de/10001507493
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Estimating the Kronecker indices of cointegrated echelon-form VARMA models
Bartel, Holger; Lütkepohl, Helmut - In: The econometrics journal 1 (1998) 1, pp. 76-99
Persistent link: https://www.econbiz.de/10001443679
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A lag augmentation test for the cointegrating rank of a VAR process
Lütkepohl, Helmut; Saikkonen, Pentti - In: Economics letters 63 (1999) 1, pp. 23-27
Persistent link: https://www.econbiz.de/10001398784
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Testing for the cointegrating rank of a VAR process with a time trend
Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 95 (2000) 1, pp. 177-198
Persistent link: https://www.econbiz.de/10001432560
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Comparison of tests for the cointegrative rank of a VAR process with a structural shift
Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2000
Persistent link: https://www.econbiz.de/10001470724
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Impulse response analysis of co-integrated systems
Lütkepohl, Helmut; Reimers, Hans-Eggert - 1989
Persistent link: https://www.econbiz.de/10000769055
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Modelling the demand for M3 in the unified Germany
Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - 1996
Persistent link: https://www.econbiz.de/10000936487
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Modeling the demand for M3 in the unified Germany
Wolters, Jürgen - In: The review of economics and statistics 80 (1998) 3, pp. 399-409
Persistent link: https://www.econbiz.de/10001245213