Search Results - subject:"Augmented regression"

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The determinants of long-run economic growth : a conceptually and computationally simple approach

Hlouskova, Jaroslava; Wagner, Martin - In: Swiss journal of economics and statistics 149 (2013) 4, pp. 445-492

Persistent link: https://www.econbiz.de/10010244758

Predictive regression with order-p autoregressive predictors

Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi - In: Journal of Empirical Finance 17 (2010) 3, pp. 513-525

. We develop a generalized augmented regression method that produces a reduced-bias point estimate of the predictive …

Persistent link: https://www.econbiz.de/10008494455

Hypothesis Testing in Predictive Regressions

Amihud, Yakov; Hurvich, Clifford; Wang, Yi - EconWPA - 2004

We propose a new hypothesis testing method for multi-predictor regressions with finite samples, where the dependent variable is regressed on lagged variables that are autoregressive. It is based on the augmented regressiom method (ARM; Amihud and Hurvich (2004)), which produces reduced-bias...

Persistent link: https://www.econbiz.de/10005134648