Choi, In (contributor); Chue, Timothy K. (contributor) - 2006
studies of predictability rely on standard asymptotic distribution theory to
draw inference. Examples of such studies include … French (1988, 1989), and Hodrick (1992). However, as more recent studies
have pointed out (see Elliott and Stock, 1994, and … the estimation of the degree of persistence
of the predictor variables. These studies use Bonferroni methods to carry out …