Endogenous Parameter Time Series Estimation of the Ohlson Model: Linear and Nonlinear Analyses
在单个公司的时间序列数据上检验Ohlson（1995）模型，用OLS、非线性最小二乘和受限系统估计参数，发现模型常产生不一致或不显著的估计，但权益风险溢价点估计与其他方法相近。
This paper tests the empirical validity of the Ohlson (1995) model on a firm‐level time series basis. The coefficients of the earnings dynamic and valuation equations are first estimated by OLS. Next, recognizing the nonlinear relationships among the parameters, each equation is estimated by nonlinear Least Squares. Lastly, the model is estimated as a restricted system by nonlinear Least Squares and nonlinear SUR. In all cases, parameters are endogenously estimated. Irrespective of the estimation method, the Ohlson model often yields inconsistent or insignificant parameter estimates. Nevertheless, point estimates of equity risk premia are similar to those obtained from alternative methodologies.