| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0080 |
| 来源ID | Technical Working Paper 0080 |
| A Simple, Consistent Estimator for Disturbance Components in Financial Models | |
| James A. Levinsohn; Jeffrey K. MacKie-Mason | |
| 发表日期 | 1989-10-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | Many recent papers have estimated components of the disturbance term in the "market model" of equity returns. In particular, several studies of regulatory changes and other policy events have decomposed the event effects in order to allow for heterogeneity across firms. In this paper we demonstrate that the econometric method applied in some papers yields biased and inconsistent estimates of the model parameters. We demonstrate the consistency of a simple and easily-implemented alternative method. |
| 主题 | Econometrics ; Macroeconomics |
| URL | https://www.nber.org/papers/t0080 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560409 |
| 推荐引用方式 GB/T 7714 | James A. Levinsohn,Jeffrey K. MacKie-Mason. A Simple, Consistent Estimator for Disturbance Components in Financial Models. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0080.pdf（1056KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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