1 option
Spurious Regressions in Financial Economics? / Wayne E. Ferson, Sergei Sarkissian, Timothy Simin.
- Format:
- Book
- Author/Creator:
- Ferson, Wayne E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9143.
- NBER working paper series no. w9143
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Summary:
- Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for predictor variables interacts with spurious regression bias. The two effects reinforce each other, because more highly persistent series are more likely to be found significant in the search for predictor variables. Our simulations suggest that many of the regressions in the literature, based on individual predictor variables, may be spurious
- Notes:
- Print version record
- September 2002.
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