Overlapping data problem
Abstract
Overlapping data are often used in finance and economics, but applied work often uses inefficient estimators. The article evaluates possible reasons for using overlapping data and provides a guide about which estimator to use in a given situation.
Citation
Harri, A., & Brorsen, B. W. (2009). The overlapping data problem. Quantitative and Qualitative Analysis in Social Sciences, 3(3), pp.78-115. https://doi.org/10.2139/ssrn.76460