Simple tests for stock return predictability with good size and power properties
Year of publication: |
2021
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Authors: | Harvey, David I. ; Leybourne, Stephen James ; Taylor, Robert |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 224.2021, 1, p. 198-214
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Subject: | Endogeneity | Hybrid statistic | Persistence | Predictive regression | Quasi-GLS demeaning | Unit root test | Theorie | Theory | Einheitswurzeltest | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test | Regressionsanalyse | Regression analysis | Börsenkurs | Share price |
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