We consider asymptotic properties of the least squares estimator (LSE) in a regression model with long-memory stationary errors. First we derive a necessary and sufficient condition that the LSE be ...
Let y = βT x + ∈ denote the intrinsic relation between the response y and a covariate vector x, where ∈ represents an unobservable random variable. A truncated regression model assumes the existence ...
Citations: Jagannathan, Ravi, Zhenyu Wang. 1998. An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression. Journal of Finance. (4)1285-1309.
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