Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression
综述了金融资产预测回归中的主要陷阱，并介绍了现代计量方法（如间接推断和内源工具变量）提供的解决可能性，对从事金融预测的研究者有参考价值。
Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent contributions to this subject, focusing on the main pitfalls in conducting predictive regression and on some of the possibilities offered by modern econometric methods. The latter options include indirect inference and techniques of endogenous instrumentation that use convenient temporal transforms of persistent regressors. Some additional suggestions are made for bias elimination, quantile crossing amelioration, and control of predictive model misspecification.