Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10003317341
This paper extends recent research on the behaviour of the t-statistic in a long-horizon regression (LHR). We assume that the explanatory and dependent variables are generated according to the following models: a linear trend stationary process, a broken trend stationary process, a unit root...
Persistent link: https://www.econbiz.de/10008656734
Persistent link: https://www.econbiz.de/10011708765
Persistent link: https://www.econbiz.de/10009623315
Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis and psychology, just to mention a few examples. In many cases, the data employed to estimate such specifications are time series that may exhibit stochastic...
Persistent link: https://www.econbiz.de/10010236711
Persistent link: https://www.econbiz.de/10011516995
Persistent link: https://www.econbiz.de/10011554480
Persistent link: https://www.econbiz.de/10010206202
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...
Persistent link: https://www.econbiz.de/10013028860