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Why Long Horizons: A Study of Power Against Persistent Alternatives / John Y. Campbell.
- Format:
- Book
- Author/Creator:
- Campbell, John Y.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0142.
- NBER technical working paper series no. t0142
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Why Long Horizons
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Summary:
- This paper studies tests of predictability in regressions with a given AR(1) regressor and an asset return dependent variable measured over a short or long horizon. The paper shows that when there is a persistent predictable component in the return, an increase in the horizon may increase the R2 statistic of the regression and the approximate slope of a predictability test. Mone Carlo experiments show that long-horizon regression tests have serious size distortions when asymptotic critical values are used, but some versions of such tests have power advantages remaining after size is corrected.
- Notes:
- Print version record
- September 1993.
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