A Simple, Consistent Estimator for Disturbance Components in Financial Models /
Levinsohn, James A.
A Simple, Consistent Estimator for Disturbance Components in Financial Models / James A. Levinsohn, Jeffrey K. MacKie-Mason. - Cambridge, Mass. National Bureau of Economic Research 1989. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0080 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0080. .
October 1989.
Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method.
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Mode of access: World Wide Web.
A Simple, Consistent Estimator for Disturbance Components in Financial Models / James A. Levinsohn, Jeffrey K. MacKie-Mason. - Cambridge, Mass. National Bureau of Economic Research 1989. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0080 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0080. .
October 1989.
Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.