Techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables.

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Using linear regression on (lagged) returns of one stock to predict returns of another

Suppose I want to build a linear regression to see if returns of one stock can predict returns of another. For example, let's say I want to see if the VIX return on day X is predictive of the S&P ...
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What is a persistent variable?

What is a persistent variable in the context of regression analysis? For example, dividend to price ratio (D/P) is considered to be persistent variable when used to model future returns (Stambaugh ...