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

   (712 K)

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.

Published: Economics Letters, vol.29, no.4, pp.325-331, 1989

This paper is available as PDF (712 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX