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Which of the following is NOT a criticism of Shiller’s test for market volatility? A Choice...

Which of the following is NOT a criticism of Shiller’s test for market volatility?

A Choice of discount rate.

B Serially corelated p* values.

C Use of non-stationary data series.

D Large sample sizes.

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Answer #1

D) Large sample sizes

Explanation: the above factor is not a factor of criticism because the sampled standard deviation is in small sample size but not large sample size which is with smooth time series. Pt* is smooth dividend known as estimated standard deviation.The future dividends may corelate with change in Pt  and Pt*.

shillers test for market volatility is related to factors of criticism like choice of discount rate,serially corelated P * values

and use of non statinary data series known for deterministic trend that is uncertainity wiyh future dividends

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