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Bali, Turan G. - 2012

There exists a small sample bias in predictive regressions, when a rate of return is regressed on a lagged stochastic … regressor, and the regression disturbance is correlated with the regressors' innovations. Although this bias can be a serious … level data, we document that as the number of cross sections used in the panel data increases the bias in coefficient …

Persistent link: https://www.econbiz.de/10013116935

Measuring discontinuities due to survey process redesigns

Brakel, Jan A. van den; Zhang, Xichuan; Tam, Siu-Ming - 2017

Persistent link: https://www.econbiz.de/10011688001

Bias-corrected realized variance

Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192

Persistent link: https://www.econbiz.de/10012180719

Bias correction of persistence measures in fractionally integrated models

Grose, Simone D.; Martin, Gael M.; Poskitt, Donald Stephen - 2014 - Revised 13, 29

Persistent link: https://www.econbiz.de/10011780804

Variable slope forecasting methods and COVID-19 risk

Leightner, Jonathan Edward; Inoue, Tomoo; Micheaux, … - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-22

There are many real-world situations in which complex interacting forces are best described by a series of equations. Traditional regression approaches to these situations involve modeling and estimating each individual equation (producing estimates of "partial derivatives") and then solving the...

Persistent link: https://www.econbiz.de/10012628841

Comprehensive definitions of breakdown-points for independent and dependent observations

Genton, Marc G.; Lucas, André - 2000

We provide a new definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous definitions center around defining a critical region for either the parameter or the objective function. If for a particular outlier constellation the critical region is entered,...

Persistent link: https://www.econbiz.de/10011303297