Learning, Structural Instability, and Present Value Calculations

DOI10.1080/07474930701220352zbMath1112.62120OpenAlexW3122284041MaRDI QIDQ5292350

Davide Pettenuzzo, M. Hashem Pesaran, Allan G. Timmermann

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0602.pdf

zbMATH Keywords

Bayesian learningstock pricespresent valuestructural breaksLucas tree model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (3)

On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty ⋮ Internal rationality, imperfect market knowledge and asset prices ⋮ Discounting climate change

Cites Work

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• Estimation and comparison of multiple change-point models
• Forecasting in dynamic factor models using Bayesian model averaging
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Forecasting Time Series Subject to Multiple Structural Breaks
• Asset Prices in an Exchange Economy
• Efficient Bayesian Inference for Dynamic Mixture Models
• Forecasting Economic Time Series
• Contemporary Bayesian Econometrics and Statistics
• A note on some limitations of CRRA utility

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