30 Pages Posted: 17 Mar 2021
Date Written: March 10, 2021
The authors describe a new statistical concept called relevance from a conceptual and mathematical perspective, and based on their mathematical framework, they present a unified theory of relevance, regressions, and event studies. They also include numerical examples of how relevance is used to forecast.
Keywords: Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Similarity
JEL Classification: C10, C22, C24, C34
Suggested Citation: Suggested Citation