Modeling stock prices without knowing how to induce stationarity

David N. Dejong, Charles H. Whiteman

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


Bayesian procedures for evaluating linear restrictions imposed by economic theory on dynamic econometric models are applied to a simple class of presentvalue models of stock prices. The procedures generate inferences that are not conditional on ancillary assumptions regarding the nature of the nonstationarity that characterizes the data. Inferences are influenced by prior views concerning nonstationarity, but these views are formally incorporated into the analysis, and alternative views are easily adopted. Viewed in light of relatively tight prior distributions that have proved useful in forecasting, the present-value model seems at odds with the data. Researchers less certain of the interaction between dividends and prices would find little reason to look beyond the present-value model.

Original languageEnglish (US)
Pages (from-to)701-719
Number of pages19
JournalEconometric Theory
Issue number3-4
StatePublished - Jan 1 1994

All Science Journal Classification (ASJC) codes

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


Dive into the research topics of 'Modeling stock prices without knowing how to induce stationarity'. Together they form a unique fingerprint.

Cite this