INVESTIGATING THE CORRELATION OF UNOBSERVED EXPECTATIONS - EXPECTED RETURNS IN EQUITY AND FOREIGN-EXCHANGE MARKETS AND OTHER EXAMPLES
成果类型：
Article
署名作者：
CUMBY, RE; HUIZINGA, J
署名单位：
University of Chicago; New York University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90061-6
发表日期：
1992
页码：
217-253
关键词：
摘要：
Many economic models yield the prediction that the unobservable conditional expectations of two series are perfectly correlated. In this paper, we propose an informative method for investigating this prediction. The method involves examining the sample correlation coefficient for the fitted values from unrestricted ordinary least squares regressions, and the estimated standard error and confidence interval of this correlation coefficient. The method is designed to supplement existing statistical tests, which are often uninformative about the exact nature in which the data agree or disagree with the prediction of perfect correlation. We also apply our method to three distinct models and data sets.
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