Simple tests for stock return predictability with good size and power properties
David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor
| Year of publication: |
2021
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|---|---|
| Authors: | Harvey, David I. ; Leybourne, Stephen James ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 224.2021, 1, p. 198-214
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| Subject: | Endogeneity | Hybrid statistic | Persistence | Predictive regression | Quasi-GLS demeaning | Unit root test | Theorie | Theory | Einheitswurzeltest | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013275372