Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions
Nickell 遇上 Stambaugh:面板预测回归中的双重偏差
In panel predictive regressions with persistent covariates, coexistence of the Nickell bias and the Stambaugh bias imposes challenges for estimation and hypothesis testing. This paper introduces an innovative estimator, the Double IVX (DIVX), inspired by the IVX technique in time series. DIVX effectively removes this composite Nickell-Stambaugh bias and reinstates standard inferential procedures based on the t-statistic. This new procedure achieves unified inference across a…