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长期限预测回归的偏差AI 解读

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)…

方差比检验的渐近功效AI 解读

The variance-ratio (VR) test statistic, which is based on k -period differences of the data, is commonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the VR test statistic when the differencing period k is increasing with the sample size n such that k / n → δ > 0. We show that the test is inconsistent against a variety of mean-reverting alternatives, confirm the result in simulations, and then…