NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

John Y. Campbell, Robert J. Shiller

NBER Technical Working Paper No. 67
Issued in July 1988
NBER Program(s):   ME   EFG

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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Document Object Identifier (DOI): 10.3386/t0067

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

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