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A Monte Carlo Investigation of the Size and Power of Tests Employing Satterthwaite's Synthetic Mean Squares

โœ Scribed by John D. Hudson, Jr. and Richard G. Krutchkoff


Book ID
124279889
Publisher
Oxford University Press
Year
1968
Tongue
English
Weight
365 KB
Volume
55
Category
Article
ISSN
0006-3444

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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