Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

DOI10.1016/J.JECONOM.2020.04.037MaRDI QIDQ2227069zbMATH OpenOpenAlexFDO

Authors Sermin Gungor, Richard Luger

Publication date 9 February 2021

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.04.037

zbMATH Keywords

conditional heteroskedasticitymultiple predictorspredictive regressionrobust inferencestock returnsunit roots

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(10)

• Simple tests for stock return predictability with good size and power properties
• A new test of asset return predictability with an unstable predictor
• Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
• Covariance-based orthogonality tests for regressors with unknown persistence
• Size and power in tests of return predictability
• Stock return predictability: Evaluation based on interval forecasts
• A reexamination of stock return predictability
• A Unified Inference for Predictive Quantile Regression
• Inference in predictive quantile regressions
• Stock and bond return predictability: the discrimination power of model selection criteria

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