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.
Document Object Identifier (DOI): 10.3386/t0067
Published: Economics Letters, vol.29, no.4, pp.325-331, 1989
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