Simple tests for stock return predictability with good size and power properties

DOI10.1016/J.JECONOM.2021.01.004MaRDI QIDQ2043264zbMATH OpenOpenAlexFDO

Authors David I. Harvey, A. M. Robert Taylor, Stephen Leybourne

Publication date 30 July 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.01.004

zbMATH Keywords

endogeneityhybrid statisticpersistencepredictive regressionquasi-GLS demeaningunit root test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Efficient Tests for an Autoregressive Unit Root
• Instrumental variable and variable addition based inference in predictive regressions
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Nearly optimal tests when a nuisance parameter is present under the null hypothesis
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(5)

• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• Improved tests for stock return predictability
• Extensions to IVX methods of inference for return predictability
• A Unified Inference for Predictive Quantile Regression
• Bonferroni Type Tests for Return Predictability and the Initial Condition

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