Errors-in-Variables and Reverse Regression

Shafiqur Rahman and Cheng Few Lee

Chapter 75 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 2547-2563 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Errors-in-variables (EIVs) and measurement errors are commonly encountered in asset prices and returns in capital market. This study examines the explanatory power of direct and reverse regression technique to bound the true regression estimates in the presence of EIVs and measurement error. We also derive standard error of reverse regression estimates to compute t-ratio of these estimates for the purpose of testing their statistical significance.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
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