Tuesday, October 8, 2013

So Much Good Reading........

Here are my latest reading suggestions:
  • Choi, I., 2013. Panel Cointegration. Working Paper, Department of Economics, Sogang University, Korea.
  • Davidson, R. and J. G. MacKinnon, 2013. Bootstrap tests for overdentification in linear regression models. Economics Department Working Paper No. 1318, Queen's University.
  • Deng, A., 2013. Understanding spurious regression in financial econometrics. Journal of Financial Econometrics, in press.
  • Feng, C., H. Wang, Y. Han, and Y. Xia, 2013. The mean value theorem and Taylor's expansion in statistics. The American Statistician, in press.
  • Kiviet, J. F. and G. D. A. Phillips, 2013. Improved variance estimation of maximum likelihood estimation in stable first-order dynamic regression models. EGC Report No. 2012/06, Division of Economics, Nanyang Technical University.
  • Lanne, M., M. Meitz, and P. Saikkonen, 2013. Testing for linear and nonlinear predicatability of stock returns. Journal of Financial Econometrics, 11, 682-705.

© 2013, David E. Giles

1 comment:

  1. Hi Dave,
    I am bit surprised that there still is (published) work on predictability of stock returns. So I thought the literature moved on to higher moments after the quintessence findings around all the dogs that did not bark?
    Best, Harry
    PS: I wonder if there are any meta-studies detailing how much work has been devoted to this area of holy-grail-search?