Predictive regressions☆
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JEL classification
C32
C11
G11
Keywords
Regression
Bias
Bayesian analysis
Estimation risk
Asset allocation
Predicting returns
Cited by (0)
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I am grateful for comments from Doron Avramov, John Campbell, Lubos Pastor, workshop participants at the University of Chicago and the University of Pennsylvania, and the referee. I am also grateful for support provided by my appointment during the 1997–98 academic year as a Marvin Bower Fellow at Harvard Business School, where portions of this research were conducted. This study includes results from a 1986 working paper, `Bias in Regressions with Lagged Stochastic Regressors'.
Copyright © 1999 Elsevier Science B.V. All rights reserved.