Tom Engsted

University of Aarhus - CREATES

Professor

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • University of Aarhus - CREATES

SCHOLARLY PAPERS

28

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73

CROSSREF CITATIONS

85

Scholarly Papers (28)

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1.

Statistical vs. Economic Significance in Economics and Econometrics: Further Comments on Mccloskey & Ziliak

Journal of Economic Methodology, Vol. 16, No. 4, pp. 393-408, 2009
Number of pages: 26 Posted: 04 May 2009 Last Revised: 14 May 2011
Tom Engsted
University of Aarhus - CREATES
Downloads 767 (53,026)

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Statistical and economic significance, statistical hypothesis testing, model evaluation, misspecified models

2.

The Relation between Asset Returns and Inflation at Short and Long Horizons

Number of pages: 26 Posted: 26 Apr 2000
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 570 (77,865)
Citation 2

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3.

Speculative Bubbles in Stock Prices? Tests Based on the Price-Dividend Ratio

Number of pages: 21 Posted: 16 Jan 2004
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 538 (83,680)
Citation 5

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Speculative bubbles, price-dividend ratio, variance decomposition, bootstrap simulation, US stock market

4.

Cross-Sectional Consumption-Based Asset Pricing: A Reappraisal

Number of pages: 10 Posted: 03 Feb 2011 Last Revised: 09 Apr 2015
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 472 (98,213)
Citation 1

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Consumption-based model, beginning-of-period timing convention, size and value premiums

5.

The Dividend-Price Ratio Does Predict Dividend Growth: International Evidence

Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 43 Posted: 13 Aug 2009 Last Revised: 28 Feb 2013
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 413 (114,895)
Citation 8

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dividend-price ratio, equity return and dividend growth, short- and long-horizon predictability, dividend smoothing, VAR model, asymptotic and small-sample tests

6.

The Danish Stock and Bond Markets: Comovement, Return Predictability and Variance Decomposition

Number of pages: 42 Posted: 13 Jul 2000
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 386 (124,116)

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7.

The Comovement of Us and UK Stock Markets

Number of pages: 22 Posted: 21 Feb 2002
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 367 (131,447)
Citation 1

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Comovement of stock returns, Variance decomposition, VAR model, Bias-correction, Bootstrap simulation

8.

The Log-Linear Return Approximation, Bubbles, and Predictability

Journal of Financial and Quantitative Analysis, Vol. 47, Nr. 3, 2012, s. 643-665.
Number of pages: 42 Posted: 09 Aug 2010 Last Revised: 28 Feb 2013
Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard
University of Aarhus - CREATES, Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 357 (135,472)
Citation 7

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Stock return, Taylor expansion, bubble, simulation, predictability

9.

Measures of Fit for Rational Expectations Models: A Survey

Number of pages: 71 Posted: 15 Sep 2000
Tom Engsted
University of Aarhus - CREATES
Downloads 355 (136,337)
Citation 1

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10.

Multicointegration in Stock-Flow Models

Working Paper 1997-18
Number of pages: 24 Posted: 21 Jan 1998
Tom Engsted, Niels Haldrup and Niels Haldrup
University of Aarhus - CREATES and CREATESAarhus University, School of Economics and Management
Downloads 265 (185,288)
Citation 9

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11.

Explosive Bubbles in House Prices? Evidence from the OECD Countries

Number of pages: 24 Posted: 13 Jan 2015
Tom Engsted, Simon Hviid and Thomas Quistgaard Pedersen
University of Aarhus - CREATES, Aarhus University and Aarhus University - CREATES
Downloads 263 (186,678)
Citation 19

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Co-explosive VAR model, right-tailed unit root tests, date-stamping bubble periods, price-to-rent ratio

12.

Pitfalls in VAR Based Return Decompositions: A Clarification

Shorter and revised version published in: Journal of Banking & Finance, Vol. 36, Nr. 5, 2012, s. 1255–1265.
Number of pages: 34 Posted: 23 Feb 2010 Last Revised: 28 Feb 2013
Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard
University of Aarhus - CREATES, Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 255 (192,545)
Citation 34

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Return variance decomposition, news components, VAR model, information set, predictive variables, redundant models

13.

Testing for Multicointegration

Working Paper No. 1997-1
Number of pages: 14 Posted: 25 Feb 1997
Tom Engsted, Jesús Gonzalo, Niels Haldrup and Niels Haldrup
University of Aarhus - CREATES, Charles III University of Madrid - Department of Statistics and Econometrics and CREATESAarhus University, School of Economics and Management
Downloads 247 (198,747)
Citation 5

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14.

Return Predictability and Intertemporal Asset Allocation: Evidence from a Bias-Adjusted VAR Model

Journal of Empirical Finance, Vol. 19, No. 2, 2012, CREATES Research Paper No. 2008-27, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 41 Posted: 28 May 2008 Last Revised: 28 Feb 2013
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 246 (199,514)
Citation 2

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Intertemporal portfolio choice, return predictability, VAR model, small-sample bias

15.

The Comovement of Us and German Bond Markets

Number of pages: 18 Posted: 10 Feb 2005
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 245 (200,286)
Citation 1

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International bond markets, VAR-model, return variance decomposition, small-sample bias, bootstrap simulation

16.

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Journal of International Money and Finance, Vol. 29, pp. 1237-1255, 2010
Number of pages: 33 Posted: 23 Jun 2008 Last Revised: 14 May 2011
Tom Engsted, Stuart Hyde and Stig Vinther Møller
University of Aarhus - CREATES, Alliance Manchester Business School - University of Manchester and Aarhus University - CREATES
Downloads 214 (227,971)
Citation 10

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Habit formation, Campbell-Cochrane model, surplus consumption ratio, GMM estimation, pricing errors, return predictability

17.

Fama on Bubbles

Journal of Economic Surveys (Forthcoming)
Number of pages: 11 Posted: 02 Sep 2014 Last Revised: 23 Jan 2015
Tom Engsted
University of Aarhus - CREATES
Downloads 190 (253,876)

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Eugene Fama, irrational and rational bubbles, return predictability, explosive stock prices

18.

Estimating the Lqac Model with I(2) Variables

Working Paper 1996-1
Number of pages: 21 Posted: 19 Mar 1996
Niels Haldrup, Niels Haldrup and Tom Engsted
CREATESAarhus University, School of Economics and Management and University of Aarhus - CREATES
Downloads 189 (255,168)

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19.

Predicting Returns and Rent Growth in the Housing Market Using the Rent-to-Price Ratio: Evidence from the OECD Countries

Journal of International Money and Finance, Forthcoming
Number of pages: 33 Posted: 19 Dec 2012 Last Revised: 01 Feb 2015
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 185 (260,101)
Citation 8

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Housing market predictability, dynamic Gordon growth model, rent-price ratio, VAR model, expectations, money illusion, OECD countries

20.

Bias-Correction in Vector Autoregressive Models: A Simulation Study

Number of pages: 33 Posted: 18 May 2011
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 171 (278,648)
Citation 2

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Bias reduction, VAR model, analytical bias formula, bootstrap, iteration, Yule-Walker, non-stationary system, skewed and fat-tailed data

21.

An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns

International Journal of Finance and Economics, Vol. 15, No. 2, pp. 213-227, 2010
Number of pages: 27 Posted: 25 Jun 2008 Last Revised: 14 May 2011
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 138 (332,365)
Citation 1

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Consumption-based model, habit persistence, GMM, pricing error

22.

Disappearing Money Illusion

Number of pages: 56 Posted: 24 Aug 2018 Last Revised: 21 Mar 2023
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 92 (443,523)
Citation 1

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Modigliani-Cohn money illusion, predictive regressions, long-run risk, inflation non-neutrality

23.

Testing for Rational Bubbles in a Co-Explosive Vector Autoregression

Shorter and revised version published in: Econometrics Journal, Vol. 15, Nr. 2, 2012, s. 226-254.
Number of pages: 54 Posted: 26 Jun 2010 Last Revised: 28 Feb 2013
Tom Engsted and Bent Nielsen
University of Aarhus - CREATES and University of Oxford - Department of Economics
Downloads 92 (443,523)
Citation 3

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Rational bubbles, Explosiveness and co-explosiveness, Cointegration, Vector autoregression, Likelihood ratio tests

24.

Measuring Noise in the Permanent Income Hypothesis

Downloads 92 (443,523)

Measuring Noise in the Permanent Income Hypothesis

Number of pages: 22 Posted: 30 Mar 2000
Tom Engsted
University of Aarhus - CREATES
Downloads 92 (447,165)

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Measuring Noise in the Permanent Income Hypothesis

Posted: 08 Sep 2003
Tom Engsted
University of Aarhus - CREATES

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25.

Long-Run Forecasting in Multicointegrated Systems

U of Aarhus, Economics Working Paper No. 2002-15
Number of pages: 29 Posted: 04 Dec 2002
Tom Engsted, Niels Haldrup, Niels Haldrup and Boriss Siliverstovs
University of Aarhus - CREATES, CREATESAarhus University, School of Economics and Management and Aarhus University - Department of Economics and Business Economics
Downloads 91 (446,638)

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Common Features, Multicointegration, Forecasting, VAR models

26.

Housing Market Volatility in the OECD Area: Evidence from VAR Based Return Decompositions

Journal of Macroeconomics, Forthcoming
Number of pages: 31 Posted: 01 Mar 2013 Last Revised: 03 Sep 2014
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 62 (554,362)
Citation 1

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Housing return, OECD countries, risk-premia, monetary policy

27.

Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective

Number of pages: 50 Posted: 05 Apr 2023
Tom Engsted and Jesper Schneider
University of Aarhus - CREATES and Aarhus University
Downloads 43 (651,373)

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Frequentist versus Bayesian analysis, observational social science data, super-populations, Haavelmo's framework, misspecified models, formal statistical versus informal model evaluation

28.

Multicointegration and Present Value Relations

Memo 1995-13
Posted: 23 Aug 1998
Tom Engsted, Jesús Gonzalo, Niels Haldrup and Niels Haldrup
University of Aarhus - CREATES, Charles III University of Madrid - Department of Statistics and Econometrics and CREATESAarhus University, School of Economics and Management

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