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A monte carlo study of the small sample properties of various estimators of Solow's distributed lag model

โœ Scribed by R. S. Guthrie


Book ID
105303272
Publisher
Springer-Verlag
Year
1979
Tongue
English
Weight
1010 KB
Volume
4
Category
Article
ISSN
0377-7332

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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