This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of...

In studies of time series momentum (TSM), the Newey-West t-test has size distortion for linear predictive regression with excess returns because of non-stationarity, endogeneity due to correlated errors, and a lack of finite moments due to heavy tails. To solve these problems, we propose a new...

Two time series of financial losses may be observed in different overlapping windows, serially dependent, heteroscedastic, and cross-sectionally dependent. Fitting a regression model to each of the two time series, we construct an improved least squares estimator in one series exploiting the...