Exploring consumption-based asset pricing model with stochastic-trend forcing processes

References

• Amano RA Norden Svan 1992 Unit-Root Tests and the Burden of Proof Bank of Canada, Working Paper No. 92-7 Ottawa Ontario
   Google Scholar
• Amano , RA and Wirjanto , TS . 1998 . Government expenditures and the permanent income model . Review of Economic Dynamics , 1 : 719 – 30 .
   Google Scholar
• Amano RA Ho W Wirjanto TS 1998 Intraperiod and Intertemporal Substitution in Import Demand http://www.unites.uqam.ca/eco/CREFE/cahiers/cah84.pdf, or CREFE, Universite du Quebec a Montreal, Cahiers de Recherche CREFE/CREFE Working Papers, 84
   Google Scholar
• Andrews , DWK and Monahan , JC . 1992 . An improved heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 60 : 953 – 66 .
   Web of Science ®Google Scholar
• Banerjee , A , Dolado , JJ , Hendry , DF and Smith , GW . 1986 . Exploring equilibrium relationships in econometrics through static models: some Monte Carlo evidence . Oxford Bulletin of Economics and Statistics , 48 : 253 – 77 .
   Web of Science ®Google Scholar
• Braun , PA , Constantinides , GM and Ferson , WE . 1993 . Time nonseparability in aggregate consumption. International evidence . European Economic Review , 37 : 897 – 920 .
   Web of Science ®Google Scholar
• Breeden , DP . 1979 . An intertemporal asset pricing model with stochastic consumption and investment opportunities . Journal of Financial Economics , 7 : 265 – 96 .
   Web of Science ®Google Scholar
• Cooley , TE and Ogaki , M . 1996 . A time series analysis of real wages, consumption, and asset returns: a cointegration-Euler Equation approach . Journal of Applied Econometrics , 11 : 119 – 34 .
   Google Scholar
• Dickey , DA and Fuller , WA . 1979 . Distribution of the estimator for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
   Web of Science ®Google Scholar
• Dunn , KB and Singleton , KJ . 1986 . Modeling the term structure of interest rates under non-separable utility and durability of goods . Journal of Financial Economics , 17 : 27 – 55 .
   Web of Science ®Google Scholar
• Eichenbaum , M and Hansen , LP . 1990 . Estimating models with intertemporal substitution using aggregate time series data . Journal of Business and Economic Statistics , 8 : 53 – 69 .
   Web of Science ®Google Scholar
• Elliott , G , Rothenberg , TJ and Stock , JH . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Engle , RF and Granger , CWJ . 1987 . Co-integration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• Ferson , WE and Constantinides , GM . 1991 . Habit persistence and durability in aggregate consumption: empirical tests . Journal of Financial Economics , 29 : 199 – 240 .
   Web of Science ®Google Scholar
• Hansen , BE . 1992 . Tests for parameter instability in regressions with I(1) processes . Journal of Business and Economic Statistics , 10 : 321 – 35 .
   Web of Science ®Google Scholar
• Hansen , LP . 1982 . Large sample properties of generalized method of moments estimators . Econometrica , 50 : 1029 – 54 .
   Web of Science ®Google Scholar
• Hansen , LP and Singleton , KJ . 1982 . Generalized instrumental variables estimation of nonlinear rational expectations models . Econometrica , 50 : 1269 – 86 .
   Web of Science ®Google Scholar
• Kwiatkowski , D , Phillips , PCB , Schmidt , P and Sin , Y . 1992 . Testing the null hypothesis of stationarity-against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
   Web of Science ®Google Scholar
• Leybourne , SJ and McCabe , BPM . 1994 . A consistent test for a unit root . Journal of Business and Economic Statistics , 12 : 157 – 66 .
   Web of Science ®Google Scholar
• MacKinnon , JG . 1994 . Approximate asymptotic distribution functions for unit-root and cointegration tests . Journal of Business and Economic Statistics , 12 : 167 – 76 .
   Web of Science ®Google Scholar
• Newey , WK and West , KD . 1987 . A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 8 .
   Web of Science ®Google Scholar
• Ng , S and Perron , P . 1995 . Unit root tests in ARMA models with data dependent methods for the truncation lag . Journal of the American Statistical Association , 429 : 268 – 81 .
   Google Scholar
• Ogaki , M and Park , JY . 1997 . A cointegration approach to estimating preference parameters . Journal of Econometrics , 82 : 107 – 34 .
   Web of Science ®Google Scholar
• Ogaki , M and Reinhart , CM . 1998 . Measuring intertemporal substitution: the role of durable goods . Journal of Political Economy , 106 : 1078 – 98 .
   Web of Science ®Google Scholar
• Park , JY . 1992 . Canonical cointegrating regressions . Econometrica , 60 : 119 – 43 .
   Web of Science ®Google Scholar
• Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regressions . Biometrika , 75 : 335 – 46 .
   Web of Science ®Google Scholar
• Phillips , PCB and Hansen , BE . 1990 . Statistical inference in instrumental variables regression with I(1) processes . Review of Economic Studies , 57 : 99 – 125 .
   Web of Science ®Google Scholar
• Shin , Y . 1994 . A residual-based test of the null of cointegration against the alternative of no cointegration . Econometric Theory , 10 : 91 – 115 .
   Web of Science ®Google Scholar
• Stock , JH . 1987 . Asymptotic properties of least squares estimators of cointegrating vectors . Econometrica , 55 : 1035 – 56 .
   Web of Science ®Google Scholar
• Stock JH 1991 A class of tests for integration and cointegration Kennedy School of Government Harvard University Cambridge MA
   Google Scholar
• Stock , JH and Watson , MW . 1993 . A simple estimator of cointegrating vectors in higher order integrated systems . Econometrica , 61 : 783 – 820 .
   Web of Science ®Google Scholar
• Wirjanto TS 1992 Intertemporal Elasticity of Substitution in Consumption Waterloo Economic Series, Working Paper 9206
   Google Scholar
• Wirjanto TS 1993 Habit Persistence, Local Durability and Aggregate Consumption Waterloo Economic Series, Working Paper 9320
   Google Scholar
• Wirjanto , TS . 1995 . Aggregate consumption behaviour and liquidity constraints: the Canadian evidence . Canadian Journal of Economics , 28 : 1135 – 52 .
   Web of Science ®Google Scholar