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The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study / John Y. Campbell, Robert J. Shiller.
- Format:
- Book
- Author/Creator:
- Campbell, John Y.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0067.
- NBER technical working paper series no. t0067
- Language:
- English
- Subjects (All):
- Dividend reinvestment.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Dividend Ratio Model and Small Sample Bias
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1988.
- Cambridge, Mass. : National Bureau of Economic Research, 1988.
- Summary:
- 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.
- Notes:
- Print version record
- July 1988.
- Includes bibliographical references.
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