A robust test for predictability with unknown persistence

DOI10.1016/J.ECONLET.2020.109028MaRDI QIDQ2179772zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Covariance-based orthogonality tests for regressors with unknown persistence
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• Robust inference for predictability in smooth transition predictive regressions
• Instrumental variable and variable addition based inference in predictive regressions
• Robust block bootstrap panel predictability tests

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A simple, robust and powerful test of the trend hypothesis
• A unified test for predictability of asset returns regardless of properties of predicting variables
• Covariance-based orthogonality tests for regressors with unknown persistence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Hybrid and Size-Corrected Subsampling Methods
• Nonparametric econometrics. Theory and practice.
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Testing predictive regression models with nonstationary regressors

Cited in

(9)

• Covariance-based orthogonality tests for regressors with unknown persistence
• A new test of asset return predictability with an unstable predictor
• Robust block bootstrap panel predictability tests
• 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
• Differencing transformations and inference in predictive regression models
• A nonparametric approach to test for predictability
• Robust inference for predictability in smooth transition predictive regressions

This page was built for publication: A robust test for predictability with unknown persistence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2179772)