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 InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0067.
Date of creation: Jul 1988
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Note: ME EFG
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Other versions of this item:
- Campbell, John Y. & Shiller, Robert J., 1989. "The dividend ratio model and small sample bias : A Monte Carlo study," Economics Letters, Elsevier, vol. 29(4), pages 325-331.
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