کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069901 1373215 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Interpreting long-horizon estimates in predictive regressions
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Interpreting long-horizon estimates in predictive regressions
چکیده انگلیسی
This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the forecasting horizon. Under the alternative of predictability, the conditional distribution of the long-run estimator, given the short-run estimate, is no longer degenerate and the expected pattern of coefficient estimates across horizons differs from that under the null. Importantly, however, under the alternative, highly endogenous regressors, such as the dividend-price ratio, tend to deviate much less than exogenous regressors, such as the short interest rate, from the pattern expected under the null, making it more difficult to distinguish between the null and the alternative.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 5, Issue 2, June 2008, Pages 104-117
نویسندگان
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