Nuisance OLS correlations in market model parameter shift studies. (ordinary least squares): An article from: Quarterly Journal of Business and Economics

This digital document is an article from Quarterly Journal of Business and Economics, published by University of Nebraska-Lincoln on March 22, 1996. The length of the article is 8086 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the supplier: Nuisance correlations can arise between shifts in the market model parameters alpha and beta when ordinary least squares (OLS) regression is used. This is shown to be true when the single index market model is applied to estimate abnormal returns over distinct time periods with the use of OLS regression. Four circumstances when such nuisance correlations can be severe are identified.

Citation Details
Title: Nuisance OLS correlations in market model parameter shift studies. (ordinary least squares)
Author: J.I. McGill
Publication:Quarterly Journal of Business and Economics (Refereed)
Date: March 22, 1996
Publisher: University of Nebraska-Lincoln
Volume: v35 Issue: n2 Page: p38(17)

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