The Library
Improved inference and estimation in regression with overlapping observations
Tools
Britten-Jones, Mark, Neuberger, Anthony and Nolte, Ingmar (2011) Improved inference and estimation in regression with overlapping observations. Journal of Business Finance & Accounting, Vol.38 (No.5-6). pp. 657-683. doi:10.1111/j.1468-5957.2011.02244.x ISSN 0306-686X.
PDF
WRAP_Neuberger_overlapping_observations.pdf - Draft Version - Requires a PDF viewer. Download (239Kb) |
Official URL: http://dx.doi.org/10.1111/j.1468-5957.2011.02244.x
Abstract
We present an improved method for inference in linear regressions with overlapping observations. By aggregating the matrix of explanatory variables in a simple way, our method transforms the original regression into an equivalent representation in which the dependent variables are non-overlapping. This transformation removes that part of the autocorrelation in the error terms which is induced by the overlapping scheme. Our method can easily be applied within standard software packages since conventional inference procedures (OLS-, White-, Newey-West-standard errors) are asymptotically valid when applied to the transformed regression. Through Monte Carlo analysis we show that it performs better in finite samples than the methods applied to the original regression that are in common usage. We illustrate the significance of our method with three empirical applications.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
||||
Library of Congress Subject Headings (LCSH): | Stocks -- Rate of return -- Research, Regression analysis -- Mathematical models, Autocorrelation (Statistics), Monte Carlo method | ||||
Journal or Publication Title: | Journal of Business Finance & Accounting | ||||
Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
ISSN: | 0306-686X | ||||
Official Date: | June 2011 | ||||
Dates: |
|
||||
Volume: | Vol.38 | ||||
Number: | No.5-6 | ||||
Number of Pages: | 27 | ||||
Page Range: | pp. 657-683 | ||||
DOI: | 10.1111/j.1468-5957.2011.02244.x | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year