Time-Series Econometrics in Macroeconomics and Finance
Bibliographic Data
| ID | 10176009 |
|---|---|
| Authors | Lars Peter Hansen (0000-0003-0035-8558, University of Chicago, corresponding author) |
| Year | 2017 |
| Volume | 125 |
| Issue | 6 |
| Pages | 1774-1782 |
| Publication date | 2017-12-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/694625 |
| OpenAlex | W2775092666 |
| Language | EN |
| References cited | 31 |
Econometrics · Economics · Macroeconomics · Series (stratigraphy · Complex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Monetary Policy and Economic Impact
Temporal Resolution of Uncertainty and Dynamic Choice Theory
Rational Expectations and the Theory of Price Movements
Asset Prices in an Exchange Economy
The Summation of Random Causes as the Source of Cyclic Processes
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
Expectations and the neutrality of money
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Macroeconomics and Reality
Large Sample Properties of Generalized Method of Moments Estimators
Understanding Risk and Return
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis
Excess Volatility in the Financial Markets
Implications of Security Market Data for Models of Dynamic Economies
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
By Force of Habit
Consumption Strikes Back? Measuring Long‐Run Risk
Forward Exchange Rates as Optimal Predictors of Future Spot Rates
Habit Formation
Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Interpreting Economic Time Series
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Asset Pricing Implications of Pareto Optimality with Private Information
Asset Pricing with Heterogeneous Consumers
Income and Wealth Heterogeneity in the Macroeconomy
Nobel Lecture
A Theory of Rational Addiction
| Citation velocity | historical |
|---|---|
| Highly cited | No |