Linear predictive regression framework (eBook, ePUB)

Predictive power of dividend yields and structural break detection

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Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and i...

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