The Stambaugh Bias in Panel Predictive Regressions
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1088784