regression. We study trading-strategy performance to verify our estimation results. If you trade on two variables with similar …

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions … variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series …

regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular … threshold in time. In this guide for practitioners, we discuss several features of this “Regression Discontinuity in Time” (RDiT … framework closer to an event study than a regression discontinuity design. Based on these features and motivated by hypothetical …

regression of Y onto X in a subpopulation homogenous in W = w (formally a conditional linear predictor). Let b₀ (w) be … the coefficient vector on X in this regression. We introduce a semiparametrically efficient estimate of the average β … methods of semiparametric regression (e.g., the partially linear regression model) …

. Extensions of the technique to the regression case are also considered and some computational points are briefly mentioned …

This paper attempts to provide the user of linear multiple regression with a battery of diagnostic tools to determine … decompositions of basic regression statistics. There is also a discussion of how these techniques can be used with robust and ridge …

This paper develops asymptotic distribution theory for instrumental variable regression when the partial correlation …