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Errors-in-Variables and Reverse Regression

In: HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING

Author

Listed:
  • Shafiqur Rahman
  • Cheng Few Lee

Abstract

Errors-in-variables (EIVs) and measurement errors are commonly encountered in asset prices and returns in capital market. This study examines the explanatory power of direct and reverse regression technique to bound the true regression estimates in the presence of EIVs and measurement error. We also derive standard error of reverse regression estimates to compute t-ratio of these estimates for the purpose of testing their statistical significance.

Suggested Citation

  • Shafiqur Rahman & Cheng Few Lee, 2020. "Errors-in-Variables and Reverse Regression," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 75, pages 2547-2563, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811202391_0075
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    More about this item

    Keywords

    Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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