Papers

October 1980 | Article

Forward Exchange-Rates as Optimal Predictors of Future Spot Rates-An Econometric Analysis

Lars Peter Hansen and Robert J. Hodrick

This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose large sample properties have not heretofore been discussed, is provided.

Journal: Journal of Political Economy|Volume: 88|Issue Number: 5|Pages: 829-853|Tags: Econometrics, Financial Market Linkages to the Macroeconomy|Export BibTeX >

@article{hansen:1980,
title={Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis},
author={Hansen, Lars Peter and Hodrick, Robert J},
journal={Journal of Political Economy},
volume={88},
number={5},
pages={829–853},
year={1980},
publisher={The University of Chicago Press}
}

January 1978 | Article

A Note on First Degree Stochastic Dominance

Lars Peter Hansen, C.A. Holt, D. Peled

A link is established between stochastic dominance and a different dominance relationship which we call pointwise dominance. This provides the basis for making several comparisons of expected values of non-decreasing functions of random variables. We discuss economic problems for which the application of stochastic dominance results depends on this link.

Journal: Economic Letters|Volume: 1|Issue Number: 4|Pages: 315-319|Tags: Econometrics|Export BibTeX >
@article{hhp:1978,
  title={A Note on First Degree Stochastic Dominance},
  author={Hansen, Lars Peter and Holt, Charles A and Peled, Dan},
  journal={Economics Letters},
  volume={1},
  number={4},
  pages={315--319},
  year={1978},
  publisher={Elsevier}
}