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Nobel de Economia

Quem ganhou? Shiller, Fama e Hansen!

Só para destacar:

The early excess-volatility findings were challenged on econometric grounds by Marsh and Merton (1986) and Kleidon (1986), who noted that the test statistics used by Shiller (1979, 1981) are only valid if the time series are stationary. This issue was addressed by Campbell and Shiller (1987). They used the theory of cointegrated processes, which had been recently developed by the 2002 Laureates Clive Granger and Robert Engle, to design new tests of the present-value model that allow the processes generating prices and dividends to be nonstationary. The model was again rejected, even under these more general and realistic conditions. The paper by Campbell and Shiller (1987) also was important in showing how cointegration methods can be used as a natural extension of Fama’s (1970) notion of “weak form” tests.

Ou seja, novamente a Econometria se mostra importante para um economista. Nunca é demais lembrar…