Multiple-Predictor Regressions: Hypothesis Testing

被引：83

作者：

Amihud, Yakov ^{[1
]}

Hurvich, Clifford M. ^{[1
]}

Wang, Yi ^{[1
]}

机构：

[1] NYU, New York, NY 10003 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 01期

关键词：

STOCK; RETURNS; INFERENCE;

D O I：

10.1093/rfs/hhn056

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a new hypothesis-testing method for multipredictor regressions in small samples, where the dependent variable is regressed on lagged variables that are autoregressive. The new test is based on the augmented regression method (Amihud and Hurvich, 2004), which produces reduced-bias coefficients and is easy to implement. The method's usefulness is demonstrated by simulations and by testing a model where stock returns are predicted by two variables, income-to-consumption and dividend yield.

引用

页码：413 / 434

页数：22

共 33 条

[1] Predictive regressions: A reduced-bias estimation method [J].