Predictive Regressions: A Reduced-Bias Estimation Method

@article{Amihud2002PredictiveRA,
  title={Predictive Regressions: A Reduced-Bias Estimation Method},
  author={Yakov Amihud and Clifford M. Hurvich},
  journal={SPGMI: Compustat Fundamentals (Topic)},
  year={2002}
}
Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper proposes a direct and convenient method to obtain reduced-bias estimators for single and multiple regressor models by employing an augmented regression, adding a proxy for the errors in the autoregressive… 
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