The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study
John Campbell () and
No 67, NBER Technical Working Papers from National Bureau of Economic Research, Inc
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.
Note: ME EFG
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Published as Economics Letters, vol.29, no.4, pp.325-331, 1989
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