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• W4247747078 abstract "When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting. Bayesian posterior distributions for the regression parameters are obtained under specifications that differ with respect to (i) prior beliefs about the autocorrelation of the regressor and (ii) whether the initial observation of the regressor is specified as fixed or stochastic. The posteriors differ across such specifications, and asset allocations in the presence of estimation risk exhibit sensitivity to those differences." @default.
• W4247747078 created "2022-05-12" @default.
• W4247747078 creator A5023702151 @default.
• W4247747078 date "1999-12-01" @default.
• W4247747078 modified "2023-10-17" @default.
• W4247747078 title "Predictive regressions" @default.
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• W4247747078 doi "https://doi.org/10.1016/s0304-405x(99)00041-0" @default.
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