On Model Testing in Financial Economics

Robert Jarrow ()

The Financial Review, 2010, vol. 45, issue 2, 277-285

Abstract: This paper discusses the two different contradicting philosophies for testing models in financial economics (asset pricing, corporate finance, and market‐microstructure) using linear regression. We synthesize these two contradicting approaches, document the errors that may occur in the existing estimation methodologies, and suggest a modified procedure that avoids these errors.

Date: 2010
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https://doi.org/10.1111/j.1540-6288.2010.00247.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:45:y:2010:i:2:p:277-285

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