Present value model, heteroscedasticity and parameter stability tests

Authors
Strauss, J Yigit, T
Citation
J. Strauss et T. Yigit, Present value model, heteroscedasticity and parameter stability tests, ECON LETT, 73(3), 2001, pp. 375-378
Citations number
12
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
73
Issue
3
Year of publication
2001
Pages
375 - 378
Database
ISI
SICI code
0165-1765(200112)73:3<375:PVMHAP>2.0.ZU;2-Y
Abstract
This work demonstrates that parameter stability tests of the present value model depend critically on adjusting for heteroscedasticity and breaks in t he regressors. A bootstrap procedure by Hansen addresses these concerns and fails to reject a stable long run relationship between stock prices, earni ngs and dividends. (C) 2001 Elsevier Science B.V. All rights reserved.