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- Tue Dec 30, 2014 4:54 pm
- Forum: Econometric Discussions
- Topic: Out-of-sample R^2
- Replies: 0
- Views: 1920
Out-of-sample R^2
Hello everybody! Standard predictive regression model for the equity premium is rt+1 = a +bxi,t +et+1, (1) where rt+1 is the return on a stock market index in excess of the risk-free interest rate, xi,t is a variable whose predictive ability is of interest, and et+1 is a disturbance term. I generate...