Publications - Thomas Quistgaard Pedersen https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=7f6d3a94f365562cd8a28884d0a9982d en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[Testing for explosive bubbles in the presence of autocorrelated innovations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=00a61794-834a-481a-8e75-1841a26e2b99&tx_pure_pure5%5BshowType%5D=pub&cHash=a38ed987b7a9aaa0c771e97213ccc7ed Pedersen, T. Q., Schütte, E. C. M. We analyze an empirically important issue with recursive right-tailed unit root tests for bubbles in asset prices. First, we show that serially correlated innovations, which is a feature that is present in most financial series used to test for bubbles, can lead to severe size distortions when using either fixed or automatic (based on information criteria) lag-length selection in the auxiliary regressions underlying the test. Second, we propose a sieve-bootstrap version of these tests and show that this results in tests which control size well across a number of simulation designs both with and without highly autocorrelated innovations. We also find that these improvements in size come at a relatively low cost for the power of the tests. Finally, we apply the bootstrap tests on the housing market of OECD countries, and generally find much weaker evidence of housing bubbles compared to existing evidence.

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Research Tue, 01 Sep 2020 19:47:09 +0200 00a61794-834a-481a-8e75-1841a26e2b99
<![CDATA[A new index of housing sentiment]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=fe70ec87-b1c3-45d6-9c92-d5a64945370c&tx_pure_pure5%5BshowType%5D=pub&cHash=15dee44f65eb94eecade564ca6bcdaf6 Bork, L., Møller, S. V., Pedersen, T. Q. We propose a new measure for housing sentiment and show that it accurately tracks expectations of future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that housing sentiment explains a large share of the time variation in house prices during both boom and bust cycles, and it strongly outperforms several macroeconomic variables typically used to forecast house prices. History: Accepted by Tyler Shumway, finance. Funding: Financial support was received from the Danish Council of Independent Research [Grant DFF 4003-00022] and CREATES, Center for Research in Econometric Analysis of Time Series [Grant DNRF78], funded by the Danish National Research Foundation.

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Research Wed, 01 Apr 2020 19:47:09 +0200 fe70ec87-b1c3-45d6-9c92-d5a64945370c
<![CDATA[Disappearing money illusion]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c1db39b2-3d17-4d11-a7ac-640c9f262d39&tx_pure_pure5%5BshowType%5D=pub&cHash=9e70552b74c7147fae07cf599bfd95d3 Engsted, T., Pedersen, T. Q. Research Tue, 21 Aug 2018 19:47:09 +0200 c1db39b2-3d17-4d11-a7ac-640c9f262d39 <![CDATA[Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=11b6c6ba-95d3-4ed7-9218-96c507ffd6a0&tx_pure_pure5%5BshowType%5D=pub&cHash=6304305b2a2dce48f3c94ea3175653ca Pedersen, T. Q., Montes Schütte, E. C. Research Thu, 16 Feb 2017 19:47:09 +0100 11b6c6ba-95d3-4ed7-9218-96c507ffd6a0 <![CDATA[A New Index of Housing Sentiment]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a1274087-9076-4fb6-9d03-57da38056213&tx_pure_pure5%5BshowType%5D=pub&cHash=1e1bb1247536a0f6d939eb1b124dfbbe Bork, L., Møller, S. V., Pedersen, T. Q. Research Mon, 14 Nov 2016 19:47:09 +0100 a1274087-9076-4fb6-9d03-57da38056213 <![CDATA[The predictive power of dividend yields for future inflation: Money illusion or rational causes?]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e235fc19-559a-4a57-a5bf-018578b028c9&tx_pure_pure5%5BshowType%5D=pub&cHash=5120fe0fedce76bb87f09e50e634663b Engsted, T., Pedersen, T. Q. Research Tue, 26 Apr 2016 19:47:09 +0200 e235fc19-559a-4a57-a5bf-018578b028c9 <![CDATA[Explosive bubbles in house prices? Evidence from the OECD countries]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=1cea5f93-16b1-4560-b8f7-20f400d61e72&tx_pure_pure5%5BshowType%5D=pub&cHash=d4158c05dee283609796aef35145cffb Engsted, T., Hviid, S. J., Pedersen, T. Q. Research Fri, 01 Jan 2016 19:47:09 +0100 1cea5f93-16b1-4560-b8f7-20f400d61e72 <![CDATA[Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e20b2fc8-a016-48d2-a193-6bf67e954c34&tx_pure_pure5%5BshowType%5D=pub&cHash=9a37255f301bc6df2e468df0b4b40b3e Engsted, T., Pedersen, T. Q. Research Thu, 01 Jan 2015 19:47:09 +0100 e20b2fc8-a016-48d2-a193-6bf67e954c34 <![CDATA[Explosive bubbles in house prices? Evidence from the OECD countries]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7d59f811-42ea-4a3c-ae06-9d8d1bf6e493&tx_pure_pure5%5BshowType%5D=pub&cHash=f47db53cbea9c96631a60b38a4e86b6b Engsted, T., Hviid, S. J., Pedersen, T. Q. Research Tue, 13 Jan 2015 19:47:09 +0100 7d59f811-42ea-4a3c-ae06-9d8d1bf6e493 <![CDATA[Predictable return distributions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4c894889-3edd-4757-a76a-929000c5addf&tx_pure_pure5%5BshowType%5D=pub&cHash=c6303f15b03354f5e66903c61b340955 Pedersen, T. Q. Research Thu, 01 Jan 2015 19:47:09 +0100 4c894889-3edd-4757-a76a-929000c5addf <![CDATA[Housing market volatility in the OECD area]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e64923c3-23b3-4307-ab07-f5f0788297ae&tx_pure_pure5%5BshowType%5D=pub&cHash=a0703d9d410fce46cbfa6df6da8bc81b Engsted, T., Pedersen, T. Q. Research Wed, 01 Jan 2014 19:47:09 +0100 e64923c3-23b3-4307-ab07-f5f0788297ae <![CDATA[Bias-correction in vector autoregressive models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=69c86613-4421-4f89-9df3-170e049a45db&tx_pure_pure5%5BshowType%5D=pub&cHash=0937d0c8943d7b12476178e67e57b55b Engsted, T., Pedersen, T. Q. estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably
worse than bootstrapping. Both methods yield a notable improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that
it compares very favorably in non-stationary models.]]>
Research Wed, 01 Jan 2014 19:47:09 +0100 69c86613-4421-4f89-9df3-170e049a45db
<![CDATA[Housing market volatility in the OECD area: Evidence from VAR based return decompositions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=933cc472-c275-43a4-8d63-bfd2110d3f73&tx_pure_pure5%5BshowType%5D=pub&cHash=8e107903b4561436cc9d35c1f124be36 Engsted, T., Pedersen, T. Q. in other countries.]]> Research Thu, 28 Feb 2013 19:47:09 +0100 933cc472-c275-43a4-8d63-bfd2110d3f73 <![CDATA[Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2d27f94a-b61b-4853-b6da-cf4e954722a7&tx_pure_pure5%5BshowType%5D=pub&cHash=f18427c173f5b3672bc88b5e0ca23a4e Engsted, T., Pedersen, T. Q. Research Mon, 17 Dec 2012 19:47:09 +0100 2d27f94a-b61b-4853-b6da-cf4e954722a7 <![CDATA[Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f994cc7d-5ad8-40a4-bb88-fd024a59d220&tx_pure_pure5%5BshowType%5D=pub&cHash=56b99e31d39f714d51af2f2e5c9fc707 Engsted, T., Pedersen, T. Q. Research Sun, 01 Jan 2012 19:47:09 +0100 f994cc7d-5ad8-40a4-bb88-fd024a59d220 <![CDATA[Pitfalls in VAR based return decompositions: A clarification]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3625c340-d91b-4ae8-ab8f-7ad0d11eecf0&tx_pure_pure5%5BshowType%5D=pub&cHash=ebb81681e9f6a5c89011dd003d3b2c68 Engsted, T., Pedersen, T. Q., Tanggaard, C. Research Sun, 01 Jan 2012 19:47:09 +0100 3625c340-d91b-4ae8-ab8f-7ad0d11eecf0 <![CDATA[Bias-correction in vector autoregressive models: A simulation study]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=10132b4f-0730-4dc4-a3f5-dde5a9669a4e&tx_pure_pure5%5BshowType%5D=pub&cHash=9fac7f10a1d9885f14aee9551c90a130 Engsted, T., Pedersen, T. Q. Research Fri, 13 May 2011 19:47:09 +0200 10132b4f-0730-4dc4-a3f5-dde5a9669a4e <![CDATA[The Log-Linear Return Approximation, Bubbles, and Predictability]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ec8cf075-eac5-4627-b108-2750aa965139&tx_pure_pure5%5BshowType%5D=pub&cHash=c08ba1ec7b5d746f436d3fc3f6846394 Engsted, T., Pedersen, T. Q., Tanggaard, C. and Shiller (1988a). First, we derive an upper bound for the mean approximation
error, given stationarity of the log dividend-price ratio. Next, we simulate various
rational bubbles which have explosive conditional expectation, and we investigate
the magnitude of the approximation error in those cases. We …nd that surprisingly
the Campbell-Shiller approximation is very accurate even in the presence of large
explosive bubbles. Only in very large samples do we …nd evidence that bubbles
generate large approximation errors. Finally, we show that a bubble model in which
expected returns are constant can explain the predictability of stock returns from
the dividend-price ratio that many previous studies have documented.]]>
Research Sun, 01 Jan 2012 19:47:09 +0100 ec8cf075-eac5-4627-b108-2750aa965139
<![CDATA[Return predictability and dynamic asset allocation]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=75aa9f68-c20d-49ac-9399-ad87a0b9422a&tx_pure_pure5%5BshowType%5D=pub&cHash=3f4e3eed0472ea1e736a9974d3263474 Pedersen, T. Q. Research Fri, 01 Jan 2010 19:47:09 +0100 75aa9f68-c20d-49ac-9399-ad87a0b9422a <![CDATA[Strategisk og taktisk aktivallokering - forudsigelige afkasts betydning for den langsigtede investor]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=90e3c831-ec58-44c1-b84a-255a6580d396&tx_pure_pure5%5BshowType%5D=pub&cHash=53e7be2a26a3bd74407356c7781bf61f Larsen, A. L., Pedersen, T. Q. Research Sun, 01 Jan 2006 19:47:09 +0100 90e3c831-ec58-44c1-b84a-255a6580d396 <![CDATA[Predictable return distributions]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6be04b20-a9f4-11df-8c1a-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=3204acb546c4a297d0e4f6673f45dc27 Pedersen, T. Q. portfolio decisions instead of imposing an assumption of lognormally distributed
returns.
]]>
Research Fri, 01 Jan 2010 19:47:09 +0100 6be04b20-a9f4-11df-8c1a-000ea68e967b
<![CDATA[The log-linear return approximation, bubbles, and predictability]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7cfbd470-a9f3-11df-8c1a-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=e46a14cd93657970d9c7ed511e233879 Engsted, T., Pedersen, T. Q., Tanggaard, C. Research Fri, 01 Jan 2010 19:47:09 +0100 7cfbd470-a9f3-11df-8c1a-000ea68e967b <![CDATA[Pitfalls in VAR based return decompositions: A clarification]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=21202af0-206b-11df-b95d-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=e70d00320379d8323d6b0a861c25004e Engsted, T., Pedersen, T. Q., Tanggaard, C. compositions, we explain in detail the various limitations and pitfalls
involved in such decompositions. First, we show that Chen and Zhao's
interpretation of their excess bond return decomposition is wrong: the
residual component in their analysis is not "cashflow news" but "inter-
est rate news" which should not be zero. Consequently, in contrast
to what Chen and Zhao claim, their decomposition does not serve as
a valid caution against VAR based decompositions. Second, we point
out that in order for VAR based decompositions to be valid, the asset
price needs to be included as a state variable. In parts of Chen and
Zhao's analysis the price does not appear as a state variable, thus
rendering those parts of their analysis invalid. Finally, we clarify the
intriguing issue of the role of the residual component in equity return
decompositions. In a properly specified VAR, it makes no difference
whether return news and dividend news are both computed directly
or one of them is backed out as a residual.]]>
Research Fri, 01 Jan 2010 19:47:09 +0100 21202af0-206b-11df-b95d-000ea68e967b
<![CDATA[The dividend-price ratio does predict dividend growth: International evidence]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=26401930-0c31-11df-b95d-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=d6f5c4227066a3ad5c8ce4286ac276a5 Engsted, T., Pedersen, T. Q. Research Fri, 01 Jan 2010 19:47:09 +0100 26401930-0c31-11df-b95d-000ea68e967b <![CDATA[The dividend-price ratio does predict dividend growth: International evidence]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f20bbc70-8673-11de-b4c2-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=d0b07226fb8860e2ad618c5ab1a821ea Engsted, T., Pedersen, T. Q. fact' in post war US data. Using long-term data, covering more than 80 years from
the US and three European countries, we revisit this stylized fact, and we also report
results on return predictability. We find large cross-country differences regarding
return and dividend growth predictability. For the US, we confirm Chen's (2008)
finding of a 'tale of two periods' but with the important difference that short- and
long-horizon real returns are significantly predictable in both sub-periods (1871-
1949 and 1950-2008), while long-horizon real dividend growth is unpredictable in
the early period and significantly predictable in the 'wrong' direction in the post
war period. These results are directly opposite to those reported by Chen using
nominal returns and dividend growth. For the UK, the results are more or less
similar to those for the US. For Sweden and Denmark we find no evidence of return
predictability, but strong evidence of predictable dividend growth in the 'right'
direction on both short and long horizons and over both the full sample periods
and the post war period. We also document that implied long-horizon coefficients
from VAR's often differ substantially from direct estimates in multi-year regres-
sions. Throughout, we report both standard asymptotic tests and simulated small-
sample tests and, following Cochrane (2008), we investigate the joint distribution
of dividend-price ratio coefficients in return and dividend growth regressions.]]>
Research Thu, 01 Jan 2009 19:47:09 +0100 f20bbc70-8673-11de-b4c2-000ea68e967b
<![CDATA[Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=9cf000b0-bfa0-11dd-abd8-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=081dceac0ec40b0112bf10d3ec47e728 Pedersen, T. Q. sumption and portfolio choice problem of an infinitely-lived investor with power
utility defined over the difference between consumption and an external habit. The
investor is assumed to have access to two tradable assets: a risk free asset with
constant return and a risky asset with a time-varying premium. We extend the ap-
proach proposed by Campbell and Viceira (1999), which builds on log-linearizations
of the Euler equation, intertemporal budget constraint, and portfolio return, to also
contain the log-linearized surplus consumption ratio. The "difference habit model"
implies that the relative risk aversion is time-varying which is in line with recent ev-
idence from the asset pricing literature. We show that accounting for habit a¤ects
both the myopic and intertemporal hedge component of optimal asset demand, and
introduces an additional component that works as a hedge against changes in the
investor's habit level. In an empirical application, we calibrate the model to U.S.
data and show that habit formation has significant effects on both the optimal
consumption and portfolio choice compared to a standard CRRA utility function.]]>
Research Tue, 01 Jan 2008 19:47:09 +0100 9cf000b0-bfa0-11dd-abd8-000ea68e967b
<![CDATA[Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/thomas-quistgaard-pedersen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=dcb75210-2c8f-11dd-9465-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=e5eb40527cc434abf89553dc4498c504 Engsted, T., Pedersen, T. Q. et al. (2003) to the case where the VAR parameter estimates are adjusted for small-
sample bias. We apply the analytical bias formula from Pope (1990) using both
Campbell et al.'s dataset, and an extended dataset with quarterly data from 1952
to 2006. The results show that correcting the VAR parameters for small-sample
bias has both quantitatively and qualitatively important e¤ects on the strategic
intertemporal part of optimal portfolio choice, especially for bonds: for intermediate
values of risk-aversion, the intertemporal hedging demand for bonds - and thereby
the total demand for bonds - is strongly reduced by the bias-adjustment. We also
investigate the robustness of the results by changing the lag-length and one of the
state variables of the VAR.]]>
Research Tue, 01 Jan 2008 19:47:09 +0100 dcb75210-2c8f-11dd-9465-000ea68e967b