Political regimes, business cycles, seasonalities, and returns
This paper provides a method for testing for regime differences when regimes are long-lasting. Standard testing procedures are generally inappropriate because regime persistence causes a spurious regression problem - a problem that has led to incorrect inference in a broad range of studies involving regimes representing political, business, and seasonal cycles. The paper outlines analytically how standard estimators can be adjusted for regime dummy variable persistence. While the adjustments...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Banking and Finance|
|01_Powell_Political_regimes,_business_2009.pdf||280.92 kB||Adobe PDF||Request a copy|
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