Assessing Goodness‐of‐Fit of Asset Pricing Models: The Distribution of the Maximal R2
研究在从多个潜在变量中挑选预测因子时，最大R²的统计分布，并给出调整临界值的简单方法，帮助研究者正确评估资产定价模型的拟合优度。
ABSTRACT The development of asset pricing models that rely on instrumental variables together with the increased availability of easily‐accessible economic time‐series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy task. Because these asset pricing theory tests are not independent, classical methods of assessing goodness‐of‐fit are inappropriate. This study investigates the distribution of the maximal when k of m regressors are used to predict security returns. We provide a simple procedure that adjusts critical values to account for selecting variables by searching among potential regressors.