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.
|Date of creation:||Jul 1988|
|Publication status:||published as Economics Letters, vol.29, no.4, pp.325-331, 1989|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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- Marsh, Terry A. & Merton, Robert C., 1984.
"Dividend variability and variance bounds tests for the rationality of stock market prices,"
1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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NBER Working Papers
2100, National Bureau of Economic Research, Inc.
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