Hi,
I've been going through the Fundamental Factor Model lecture and other references; however, something I have not see and I assume it is supposed to be done this way, which is the dependent variable Y inn the linear regression or the independent Variable of the Linear regression should be lagged. Is this correct?
In other words
Yi=α+β1X1i-1+…+βkXki-1+ϵi-1
or
Yi+1=α+β1X1i+…+βkXki+ϵi
This is for prediction. Please confirm