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The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study

John Campbell () and Robert Shiller

No 67, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: 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: 1988-07
Note: ME EFG
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Published as Economics Letters, vol.29, no.4, pp.325-331, 1989

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