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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.
Year of publication:
1988-07
Authors: Campbell, John Y. ; Shiller, Robert J.
Institutions: National Bureau of Economic Research (NBER)
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
ME EFG published as Economics Letters, vol.29, no.4, pp.325-331, 1989 Number 0067
Source:
Persistent link: https://www.econbiz.de/10005725300
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