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Empirical assessment of present value relations |
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| Authors: | Joe Mattey Richard Meese |
| Affiliation: | a University of California, Berkeley |
| Abstract: | This paper summarizes the literature on estimation and testing of present value relations. Twenty-four test statistics are illustrated and compared in a simulation experiment utilizing six different data generation models. The test statistics are calculated for actual Standard and Poor's 500 annual stock price and dividend data, and the results are interpreted in light of the Monte Carlo experiments. |
| Keywords: | Cointegration Heteroskedasticity and autocorrelation consistent covariance mztrix estimators Method of moments estimtors Monte Carlo Present value relations Unit roots |
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