Title of article
Robust vs. OLS estimation of the market model: implications for event studies
Author/Authors
Cable، John نويسنده , , Holland، Kevin نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
-384
From page
385
To page
0
Abstract
This paper employs quarterly data from the whole of Germany to test the stability of M3 demand for money. The methodology is based on an application of the CUSUM and CUSUMSQ in the context of error-correction modeling and cointegration. The results reveal some instability in M3 money demand function.
Keywords
Event studies , Market model , Robust estimation
Journal title
Economics Letters
Serial Year
2000
Journal title
Economics Letters
Record number
21976
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