Predictive Regressions: A Present-Value Approach

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Title: A Simple Approach for Diagnosing Instabilities in Predictive Regressions

We introduce a method for detecting the presence of time variation and instabilities in the parameters of predictive regressions linking noisy variables such as stock returns to highly persistent predictors such as stock market valuation ratios. Our proposed approach relies on the least squares based squared residuals of the predictive regression and is trivial to implement. More importantly th...

متن کامل

Variable Selection in Predictive Regressions

This chapter reviews methods for selecting empirically relevant predictors from a set of N potentially relevant ones for the purpose of forecasting a scalar time series. I first discuss criterion based procedures in the conventional case when N is small relative to the sample size, T . I then turn to the large N case. Regularization and dimension reduction methods are then discussed. Irrespecti...

متن کامل

The Stambaugh Bias in Panel Predictive Regressions

This paper analyzes predictive regressions in a panel data setting. The standard …xed e¤ects estimator su¤ers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions can be severe. A new bias-corrected estimator is proposed, which is shown to work well in …nite samples an...

متن کامل

Interpreting Long-Horizon Estimates in Predictive Regressions

This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the forecasting horizon. Under the alternative of predictability, the conditional distribution of the long-ru...

متن کامل

Predictive Regressions with Time-Varying Coefficients

We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. This allows for fast and consistent adjustment of regression coefficients to changes in the underlying economic relationships (e.g., changes in the regulatory environment) as we document explicitly for the coefficient of the dividend yield. For monthly returns of...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: The Journal of Finance

سال: 2010

ISSN: 0022-1082

DOI: 10.1111/j.1540-6261.2010.01575.x