Amihud, Yakov; Hurvich, Clifford M.; Wang, Yi - In: Journal of Empirical Finance 17 (2010) 3, pp. 513-525
Studies of predictive regressions analyze the case where yt is predicted by xt - 1 with xt being first-order autoregressive, AR(1). Under some conditions, the OLS-estimated predictive coefficient is known to be biased. We analyze a predictive model where yt is predicted by xt - 1,...
