Liu, Wei; Maynard, Alex - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1376-1376
Empirical results from long-horizon regression tests have been influential in the finance literature. Yet, it has come to be understood that traditional long-horizon tests may be unreliable in finite samples when regressors are persistent and when the horizon is long relative to sample size....
