Title of article
Present value model, heteroscedasticity and parameter stability tests
Author/Authors
Strauss، Jack نويسنده , , Yigit، Taner نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
-374
From page
375
To page
0
Abstract
This work demonstrates that parameter stability tests of the present value model depend critically on adjusting for heteroscedasticity and breaks in the regressors. A bootstrap procedure by Hansen addresses these concerns and fails to reject a stable long run relationship between stock prices, earnings and dividends.
Keywords
Non-stationary time series , Spurious causality , Granger causality
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
21829
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