Predictive regression with p-lags and order-q autoregressive predictors

Harshanie L. Jayetileke, You-Gan Wang, Min Zhu

Year of publication:	2021
Authors:	Jayetileke, Harshanie L. ; Wang, You-Gan ; Zhu, Min
Published in:	Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 62.2021, p. 282-293
Subject:	Augmented regression \| Bias \| Predictive regressions \| Return predictability \| Regressionsanalyse \| Regression analysis \| Prognoseverfahren \| Forecasting model \| Kapitaleinkommen \| Capital income \| Schätzung \| Estimation \| Prognose \| Forecast \| Schätztheorie \| Estimation theory \| Systematischer Fehler

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