| Author: | Caballero, R. |
| Title: | Small sample bias and adjustment costs |
| Journal: | Review of Economics and Statistics
1994 : FEB, VOL. 76:1, p. 52-58 |
| Index terms: | BIAS ECONOMICS ADJUSTMENT COSTS |
| Language: | eng |
| Abstract: | The response of most stock variables to exogenous impulses involves a dynamic - or "short-run" - reaction, and a target - or "long-run" - reaction. The difference between these two is typically attributed to some form of adjustment cost. In this paper, the author argues that the small sample problems of cointegrating procedures used to estimate the "long"-run component are particularly severe when adjustment costs are important. |
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