I read many papers on asset pricing and have some basic doubts regarding Fama French Time series regression:
We have time series data, but still it is a simple OLS we run in FF model. Then why it is called Fama French time series regression?
They have done nothing for autocorrelation problem. If this is so, then the results could be bias. Can we use AR, MA or ARMA model in addition with three factors which can help for autocorrelation problem?
Kindly help me. Thank You Priya