The dividend ratio model and small sample bias : A Monte Carlo study
Small 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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1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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