Does the choice of estimator matter when forecasting returns?

Joakim Westerlund and Paresh Narayan ()

Working Papers from Deakin University, Department of Economics

Keywords: Predictive regression; Stock return predictability; Heteroskedasticity; Predictor endogeneity (search for similar items in EconPapers)
Date: 2012-01-01
New Economics Papers: this item is included in nep-ecm and nep-for
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http://dx.doi.org/10.1016/j.jbankfin.2012.06.005

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Journal Article: Does the choice of estimator matter when forecasting returns? (2012)
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