1 option
A Simple, Consistent Estimator for Disturbance Components in Financial Models / James A. Levinsohn, Jeffrey K. MacKie-Mason.
- Format:
- Book
- Author/Creator:
- Levinsohn, James A.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0080.
- NBER technical working paper series no. t0080
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method.
- Notes:
- Print version record
- October 1989.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.