Understanding Spurious Regression in Financial Economics
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/12/1/122/2437965/nbs025.pdf
Reference30 articles.
1. Predictive Regressions: A Reduced-Bias Estimation Method
2. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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4. Why long horizons? A study of power against persistent alternatives
5. Efficient tests of stock return predictability☆
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