A robust test for predictability with unknown persistence

DOI10.1016/J.ECONLET.2020.109028zbMATH Open1439.62203OpenAlexW2976938983MaRDI QIDQ2179772FDOQ2179772

Guannan Liu, Shuang Yao

Publication date: 13 May 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109028

zbMATH Keywords

asymptotic theorystationary processreturn predictabilityintegrated processkernel covariance estimationnearly integrated process

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Hybrid and Size-Corrected Subsampling Methods
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A simple, robust and powerful test of the trend hypothesis
• Predictive regression under various degrees of persistence and robust long-horizon regression
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
• Testing predictive regression models with nonstationary regressors
• A unified test for predictability of asset returns regardless of properties of predicting variables
• Title not available (Why is that?)

Cited In (4)

• On empirical likelihood test for predictability
• Nonparametric testing for long-horizon predictability with persistent covariates
• A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
• A nonparametric approach to test for predictability

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