Simple tests for stock return predictability with good size and power properties

Authors

Keywords

Predictive regression, Persistence, Endogeneity, Quasi-GLS demeaning, Unit root test, Hybrid statistic

Journal

Volume -, Issue -, Pages -

Publisher

Elsevier BV

Online

2021-02-24

DOI

10.1016/j.jeconom.2021.01.004

References

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