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英文文献：On a numerical and graphical technique for evaluating some models involving rational expectations-讨论用于评估一些包含理性预期的模型的数值和图形技术
英文文献作者：S?ren Johansen,Anders Rygh Swensen
英文文献摘要：
Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a general de?nition of spread and theoretical spread. The main results are the asymptotic distributions of the variance ratio, noise ratio, and correlation between the estimated spread and theoretical spreads. We derive sup tests for the recursively calculated quantities. Finally we apply the methods to two previous studies by Campbell and Shiller (1987) and Engsted (2002).
Campbell和Shiller(1987)提出了一种现值模型的图示技术，包括绘制从协整向量自回归模型计算出的扩散和理论扩散。我们将这些技术扩展到一些理性预期模型，并给出了传播和理论传播的一般定义。主要结果是方差比、噪声比的渐近分布，以及估计扩展和理论扩展之间的相关性。我们推导了递归计算量的sup检验。最后，我们将这些方法应用到Campbell和Shiller(1987)以及Engsted(2002)之前的两项研究中。
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