๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A monte carlo comparison of the small sample behaviour of the pearson, the likelihood ratio and the cressie-read statistics

โœ Scribed by Rudas, T.


Book ID
121305042
Publisher
Taylor and Francis Group
Year
1986
Tongue
English
Weight
372 KB
Volume
24
Category
Article
ISSN
0094-9655

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โœ Eugenie Garganas; Stephen G. Hall ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 372 KB

In this paper, we extend results from the finance literature that explores small sample bias, due to persistent variables, in tests of present value asset pricing models. Using a Monte Carlo simulation approach, we investigate the finite sample behaviour of standard tests of the expectations hypothe