Journal•ISSN: 0165-1889
Journal of Economic Dynamics and Control
Elsevier BV
About: Journal of Economic Dynamics and Control is an academic journal published by Elsevier BV. The journal publishes majorly in the area(s): Monetary policy & Economics. It has an ISSN identifier of 0165-1889. Over the lifetime, 3852 publications have been published receiving 174450 citations. The journal is also known as: Journal of economic dynamics & control.
Papers published on a yearly basis
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TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
16,189 citations
TL;DR: In this article, the authors present a summary of recent work on a new methodology to test for the presence of a unit root in univariate time series models, which is quite general.
2,686 citations
TL;DR: In this paper, the conditional standard deviation is a piecewise linear function of past values of the white noise, which allows different reactions of the volatility to different signs of the lagged errors.
2,125 citations
TL;DR: In this paper, the authors investigate the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs, where agents choose from a finite set of predictors of future prices of a risky asset and revise their "beliefs" in each period in a boundedly rational way, according to a fitness measure such as past realized profits.
1,735 citations
TL;DR: In this paper, a general definition of causality is introduced and then specialized to become operational, and tests based on the definitions are then considered and the use of post-sample data emphasized rather than relying on the same data to fit a model and use it to test causality.
1,574 citations