Forecasting the Returns Based on the Panel Data Estimation Methods
Ewa Majerowska ()
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Ewa Majerowska: University of Gdańsk, Poland
Chapter 13 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 3, pp 187-197 from University of Lodz
Abstract:
The purpose of the chapter is to show if there is a relationship between the rates of return from portfolios applying SUR and CSCTA models. If the results confirm the rationality of applying panel data models then forecasts of returns will be calculated. The chapter also aims to test whether the forecasts obtained from the above models are more accurate than those obtained from OLS estimation method.
Keywords: Forecasting the returns; Panel data estimation methods; SUR and CSCTA models (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2007:n:03:ch:13:mon
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