The Bias of the RSR Estimator and the Accuracy of Some Alternatives
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https://www.nber.org/papers/t0270
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资源简介：
This paper analyzes the implications of cross-sectional heteroskedasticity in repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross sectional variance of asset
提供机构：
美国国家经济研究局
创建时间：
2001-04-01
