Testing the Ohlson Model-Panel Cointegration Approach

• Main Authors: Yung-Tzu Lu, 呂勇賜
• Other Authors: 李詩政
• Format: Others
• Language: en_US
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/82865361880619486696

碩士 === 元智大學 === 會計學系 === 94 === This study uses American quarterly data to examine whether Ohlson(1995) model is holding. In the past, the statistic analyzing processes assume all variables stationary for the regression. Generally empirical studies assume that variables are stationary, but most variables do not conform to the assumption. Therefore, non-stationary variables may result in spurious regression. We will use the unit root and cointegration test to examine time-series properties of the Ohlson model. Conventional cointegration method can’t solve the problem of power being too low. Some studies have adopted panel data in order to improve the power. However, panel-unit root test and panel-cointegration test are applied with long time-series and large cross-section data. In this study, we use panel data to test that: (1) whether market value, book value, and residual income are stationary and (2) if they are nonstationary, whether book value and residual income cointegrate with market value.