The dividend ratio model and small sample bias : A Monte Carlo study
AbstractSmall sample properties of parameter estimates and test statistics in the vector autoregressive dividend ratio model (Campbell and Shiller [1988 a,b]) are derived by stochastic simulation. The data generating processes are co integrated vector autoregressive models, estimated subject to restrictions implied by the dividend ratio model, or altered to show a unit root.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 29 (1989)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- John Y. Campbell & Robert J. Shiller, 1988. "The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study," NBER Technical Working Papers 0067, National Bureau of Economic Research, Inc.
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