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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 Bias literature).

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    $\begingroup$ I think this question is more suitable in stats.stackexchange.com In short, persistence is related to the long-term influence of a shock, e. g. that a one-off shock on the d/p would have an "everlasting" influence on the average return level. $\endgroup$ – Owe Jessen Mar 7 '11 at 14:23
  • $\begingroup$ Sounds about right. If you submit this as an answer... I'll tick it as accepted. $\endgroup$ – user40 Mar 7 '11 at 15:44
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In short, persistence is related to the long-term influence of a shock, e. g. that a one-off shock on the d/p would have an "everlasting" influence on the average return level.

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  • $\begingroup$ Whoever downgraded, would you mind answering as well? $\endgroup$ – user40 Apr 19 '11 at 17:08

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