Sequential Monte Carlo estimation for Present-Value model

被引：2

作者：

Li, Yong ^{[1
]}

Lou, Zhusheng ^{[2
,3
]}

Zhang, Qiaosen ^{[2
,3
]}

Zhang, Mingzhi ^{[2
,3
]}

机构：

[1] Renmin Univ China, Sch Econ, Beijing, Peoples R China

[2] Renmin Univ China, Hanqing Adv Inst Econ & Finance, Beijing 100872, Peoples R China

[3] Renmin Univ China, Sch Finance, Beijing, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 18期

关键词：

Present-Value model; simulated annealing; sequential Monte Carlo; estimation;

D O I：

10.1080/13504851.2021.1959512

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Multi-modal likelihood function of Present-Value model makes traditional estimation approach sensitive to initial values. In this article, we apply Sequential Monte Carlo (SMC) approach in the estimation of Present-Value model, since it is robust to multi-modality. Simulation studies show that SMC approach is preferable than Simulated Annealing (SA) since the latter is sensitive to initial values. Finally, we find that stock market return in the U.S. is more persistent than dividend growth rate according to our empirical study.

引用

页码：1702 / 1708

页数：7

共 11 条

[1] The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors [J].