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Bootstrap Estimate of a Behavioral Stock Price Model
Abstract
A behavioral stock price model that incorporates inertia
in investor behavior is developed and estimated. The estimates are consistent but biased, because of the presence of lagged dependent variables and errors-in-variables. The method of recursive bootstrap overcomes these problems and seems to provide a more accurate estimate of the behavioral model.
in investor behavior is developed and estimated. The estimates are consistent but biased, because of the presence of lagged dependent variables and errors-in-variables. The method of recursive bootstrap overcomes these problems and seems to provide a more accurate estimate of the behavioral model.