We show that it is perfectly correct to use just the interaction term, along with its standard error, to draw inferences about interactive effects in binary response regression models. This point is currently in dispute among applied econometricians, some of whom insist that simply relying on...

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The...

Portfolio performance measures using holdings data are panel regressions. The returns of a fund's stocks are regressed on its lagged portfolio weights. Stock fixed effects isolate average performance from time-series predictive ability. Control variables condition fund performance on the...