Biases in long-horizon predictive regressions
长期限预测回归的偏差
Analogous to Stambaugh (1999), this paper derives the small sample bias of estimators in J-horizon predictive regressions, providing a closed-form solution in terms of the sample size, horizon and persistence of the predictive variable. For large J, the bias is linear in JT with a slope that depends on the predictive variable's persistence. The paper offers a number of other useful results, including (i) important extensions to the original Stambaugh (1999) setting, (ii)…