Biases in Long-Horizon Predictive Regressions
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下载链接：
https://www.nber.org/papers/w27410
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资源简介：
Analogous to Stambaugh (1999), this paper derives the small sample bias of estimators in J-horizon predictive regressions, providing a plug-in adjustment for these estimators. A number of surprising results emerge, including (i) a higher bias for overlapping than nonoverlapping regressions despite
提供机构：
美国国家经济研究局
创建时间：
2020-06-01
