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- Tue Oct 11, 2016 3:23 am
- Forum: Econometric Discussions
- Topic: Advanced econometrics: panel data, double clustering and overlapping returns
- Replies: 0
- Views: 10313
Advanced econometrics: panel data, double clustering and overlapping returns
Hi, I am writing a thesis about the relationship between long term returns (5 year) and P/E-, P/B-ratios etc. Because of short time series in the specific market, I have been forced to use overlapping returns, measured each month 5 years ahead. This will create serious issues regarding autocorrelati...