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  • 1
    Electronic Resource
    Electronic Resource
    TESTING THE PRESENT VALUE MODEL OF EQUITY PRICES FOR THE UK STOCK MARKET (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 20 (1993), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper applies present value tests to the UK stock market. Using monthly data from 1965 to 1990 on real equity price and dividend indices, it is found that the restrictions imposed by the present value model on a vector autoregression comprised of the ‘spread’ between prices and dividends and the change in real dividends can be rejected both for the complete sample period and for a shorter sample which omits the early years of dividend control and the run up to and aftermath of the stock market ‘Crash’ of October 1987. These tests are supplemented by informal methods for evaluating the ‘fit’ of the present value model: the observed spread is found to move ‘too much’, so that deviations from the model are persistent and long-lasting.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1993.tb00294.x
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  • 2
    Electronic Resource
    Electronic Resource
    TIME SERIES ANALYSIS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of economic surveys 9 (1995), S. 0 
    Details
    ISSN: 1467-6419
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-6419.1995.tb00120.x
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  • 3
    Electronic Resource
    Electronic Resource
    Recent Developments in Modelling Nonstationary Vector Autoregressions (1998)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of economic surveys 12 (1998), S. 0 
    Details
    ISSN: 1467-6419
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: In this paper we review some recent developments in the modelling of nonstationary vector autoregressions (VARs) which we feel have great potential for furthering applied researchers understanding of the relationships linking the variables making up a VAR. The developments surveyed are the use of model determination criteria in selecting lag length, trend order and cointegrating rank, causality testing in vector error correction models, FM-VAR estimation of levels VARS, common trends and cycles analysis, permanent and transitory decompositions, impulse response asymptotics, and the links between cointegrated VARs and structural models. The techniques are illustrated by applications to the modelling of U.K. equities, dividends and interest rates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-6419.00057
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  • 4
    Electronic Resource
    Electronic Resource
    NONLINEAR TIME SERIES MODELS IN ECONOMICS (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of economic surveys 5 (1991), S. 0 
    Details
    ISSN: 1467-6419
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. In recent years there has been great interest in developing nonlinear extensions to the basic Autoregressive Integrated Moving Average model popularised by Box and Jenkins. Many of these have been in response to observed nonlinear behaviour in scientific areas such as electronic engineering, geology and oceanography and, as a consequence, have found little application in economics. Economic time series have features peculiar to themselves, and thus often require models to be developed in response to their own special nonlinear character. This paper therefore surveys those nonlinear time series models that have been developed in other disciplines and which have found to be useful for analysing economic time series, such as power transformations, fractional integration and deterministic chaos, and those that have been developed directly in response to nonlinear economic behaviour: for example, logistic transformations, asymmetric models, Markov models for business cycles and time deformation models. Also discussed are various tests for the presence of nonlinearity in time series and the evidence concerning the prevalence of such nonlinearity in economic time series is surveyed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-6419.1991.tb00133.x
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  • 5
    Electronic Resource
    Electronic Resource
    ESTIMATING THE PERMANENT COMPONENT OF UK STOCK PRICES USING MULTIVARIATE EVIDENCE ON BOTH PRICES AND DIVIDENDS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of business finance & accounting 22 (1995), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1468-5957.1995.tb00382.x
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  • 6
    Electronic Resource
    Electronic Resource
    MODELING REAL RETURNS ON UK GOVERNMENT STOCK (1986)
    Oxford, UK : Blackwell Publishing Ltd
    Bulletin of economic research 38 (1986), S. 0 
    Details
    ISSN: 1467-8586
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8586.1986.tb00219.x
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  • 7
    Electronic Resource
    Electronic Resource
    THE INFORMATION CONTENT OF THE UK MONETARY COMPONENTS AND AGGREGATES (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Bulletin of economic research 35 (1983), S. 0 
    Details
    ISSN: 1467-8586
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8586.1983.tb00444.x
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  • 8
    Electronic Resource
    Electronic Resource
    INFREQUENT PERMANENT SHOCKS AND THE UNIT ROOT IN QUARTERLY UK OUTPUT (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Bulletin of economic research 46 (1994), S. 0 
    Details
    ISSN: 1467-8586
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8586.1994.tb00581.x
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  • 9
    Electronic Resource
    Electronic Resource
    Great ratios and Common Cycles: Do They Exist for the UK? (2001)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Bulletin of economic research 53 (2001), S. 0 
    Details
    ISSN: 1467-8586
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper investigates the dynamic interactions between postwar, quarterly UK consumption, investment and income within a VAR framework. Use is made of two developments which allow sets of restrictions to be tested and imposed, and which potentially make the VAR framework much more economically interpretable. One set is placed by neoclassical growth theory and involves the presence of common stochastic trends linking the secular movement of the series (i.e. the great ratios), while the other set is placed by notions of common, or more generally, codependent cycles which have their origin in ideas of comovements between growth rates. Evidence is found to support the existence of the great ratios for the UK, and evidence is also found of a codependent cycle of order one in the growth rates of consumption, investment and income, so that although the cycles are not exactly synchronized, the response of the three growth rates to a shock will be similar from two quarters after the shock has occurred. Moreover, it is lagged consumption shocks that are primarily driving the cycle.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-8586.00116
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  • 10
    Electronic Resource
    Electronic Resource
    Multivariate Markov Switching Common Factor Models for the UK (2003)
    Oxford, UK and Boston, USA : Blackwell Publishing Ltd
    Bulletin of economic research 55 (2003), S. 0 
    Details
    ISSN: 1467-8586
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: We estimate a model that incorporates two key features of business cycles, comovement among economic variables and switching between regimes of boom and slump, to quarterly UK data for the last four decades. A common factor, interpreted as a composite indicator of coincident variables, and estimates of turning points from one regime to the other, are extracted from the data by using the Kalman filter and maximum likelihood estimation. Both comovement and regime switching are found to be important features of the UK business cycle. The composite indicator produces a sensible representation of the cycle and the estimated turning points agree fairly well with independently determined chronologies. These estimates are sharper than those produced by a univariate Markov switching model of GDP alone. A fairly typical stylized fact of business cycles is confirmed by this model – recessions are steeper and shorter than recoveries.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-8586.00168
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