Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - School of Economics and Management, University of Aarhus - 2015
Predictive return regressions with persistent regressors are typically plagued by (asymptotically) biased/inconsistent estimates of the slope, non-standard or potentially even spurious statistical inference, and regression unbalancedness. We alleviate the problem of unbalancedness in the...
