On the Properties of Regression Tests of Asset Return Predictability
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- Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
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Keywordspresent value model; predictive regression; local-to-unity assumption; conditional test; Q-test; t-test.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-ECM-2011-11-28 (Econometrics)
- NEP-FOR-2011-11-28 (Forecasting)
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