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Testing the permanent income hypothesis using a general rational lag formulation

, , and . Economics Letters, 5 (1): 39--43 (1980)

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Cointegration, Fractional Cointegration, and Exchange Rate Dynamics, and . The Journal of Finance, 49 (2): 737--745 (1994)The Message in Daily Exchange Rates: A Conditional-Variance Tale, and . Journal of Business & Economic Statistics, 7 (3): 297-305 (July 1989)available at http://ideas.repec.org/a/bes/jnlbes/v7y1989i3p297-305.html.Deviations from daily uncovered interest rate parity and the role of intervention, and . Journal of International Financial Markets, Institutions and Money, 10 (3-4): 363--379 (December 2000)A minimum distance estimator for long-memory processes, , and . Journal of Econometrics, 71 (1-2): 249--264 (00 1996)Econometric tests of rationality and market efficiency. Econometric Reviews, 8 (2): 151--186 (1989)Comment on modeling asset returns with alternatrve stable distributions. Econometric Reviews, 12 (3): 343--345 (1993)Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates. Economics Letters, 13 (2-3): 201--206 (1983)Predictions from ARMAX models. Journal of Econometrics, 12 (3): 365--374 (April 1980)Prediction in dynamic models with time-dependent conditional variances, and . Journal of Econometrics, 52 (1-2): 91--113 (00 1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity, , and . Journal of Econometrics, 74 (1): 3--30 (September 1996)