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Regime Specific Predictability in Predictive Regressions

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Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a more persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of...

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Regime-specific predictability in predictive regressions

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Regime specific predictability in predictive regression

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Inferring the predictability induced by a persistent regressor in a predictive threshold model

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