The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study / John Y. Campbell, Robert J. Shiller.

By:

Campbell, John Y

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Material type: Text

TextSeries: Technical Working Paper Series (National Bureau of Economic Research) ; no. t0067.Publication details: Cambridge, Mass. National Bureau of Economic Research 1988.Description: 1 online resource: illustrations (black and white)Online resources:

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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.

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Working Paper	Biblioteca Digital	Colección NBER	nber t0067 (Browse shelf(Opens below))	Not For Loan

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July 1988.

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.