We propose a new hypothesis testing method for multi-predictor regressions with finite samples, where the dependent variable is regressed on lagged variables that are autoregressive. It is based on the augmented regression method (ARM; Amihud and Hurvich(2004)), which produces reduced-bias...

Studies of predictive regressions analyze the case where yt is predicted by xt-1 with xt being first-order autoregressive, AR(1). Under some conditions, the OLS- estimated predictive coefficient is known to be biased. We analyze a predictive model where yt is predicted by xt-1, xt-2,... xt-p...