TY  - JOUR
AU  - Campbell,John Y.
AU  - Shiller,Robert J.
TI  - The Dividend Ratio Model and Small Sample Bias:  A Monte Carlo Study
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 67
PY  - 1988
Y2  - July 1988
UR  - http://www.nber.org/papers/t0067
L1  - http://www.nber.org/papers/t0067.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - 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.
ER  -