DRAWING INFERENCES FROM STATISTICS BASED ON MULTIYEAR ASSET RETURNS

[1] Billingsley P., 1968, WILEY SERIES PROBABI

[2] ARE OUTPUT FLUCTUATIONS TRANSITORY [J]. QUARTERLY JOURNAL OF ECONOMICS, 1987, 102 (04) : 857 - 880

[3] LIMITING DISTRIBUTIONS OF LEAST-SQUARES ESTIMATES OF UNSTABLE AUTOREGRESSIVE PROCESSES [J]. ANNALS OF STATISTICS, 1988, 16 (01) : 367 - 401

[4] CHRISTIANO LJ, 1989, IN PRESS UNIT ROOTS

[5] HOW BIG IS THE RANDOM-WALK IN GNP [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (05) : 893 - 920

[6] MULTIVARIATE ESTIMATES OF THE PERMANENT COMPONENTS OF GNP AND STOCK-PRICES [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3) : 255 - 296

[7] Ethier S.N., 1986, MARKOV PROCESSES CHA, DOI 10.1002/9780470316658

[8] FAMA EF, 1988, J POLIT ECON, V96, P246

[9] FAUST J, 1989, VARIANCE RATIO TEST

[10] Hall P., 1980, MARTINGALE LIMIT THE

[1] Billingsley P., 1968, WILEY SERIES PROBABI

[2] ARE OUTPUT FLUCTUATIONS TRANSITORY [J]. QUARTERLY JOURNAL OF ECONOMICS, 1987, 102 (04) : 857 - 880

[3] LIMITING DISTRIBUTIONS OF LEAST-SQUARES ESTIMATES OF UNSTABLE AUTOREGRESSIVE PROCESSES [J]. ANNALS OF STATISTICS, 1988, 16 (01) : 367 - 401

[4] CHRISTIANO LJ, 1989, IN PRESS UNIT ROOTS

[5] HOW BIG IS THE RANDOM-WALK IN GNP [J]. JOURNAL OF POLITICAL ECONOMY, 1988, 96 (05) : 893 - 920

[6] MULTIVARIATE ESTIMATES OF THE PERMANENT COMPONENTS OF GNP AND STOCK-PRICES [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3) : 255 - 296

[7] Ethier S.N., 1986, MARKOV PROCESSES CHA, DOI 10.1002/9780470316658

[8] FAMA EF, 1988, J POLIT ECON, V96, P246

[9] FAUST J, 1989, VARIANCE RATIO TEST

[10] Hall P., 1980, MARTINGALE LIMIT THE