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A Monte Carlo Investigation of the Robustness of Hotelling's One- and Two-Sample T2Tests

โœ Scribed by Brian S. Everitt

Book ID
125215913
Publisher
American Statistical Association
Year
1979
Tongue
English
Weight
638 KB
Volume
74
Category
Article
ISSN
0162-1459

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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