A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests

DOI10.2202/1558-3708.1376MaRDI QIDQ5452769zbMATH OpenOpenAlexFDO

Authors Alex Maynard, Wei Liu

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1376

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)

Recommendations

• Nonparametric testing for long-horizon predictability with persistent covariates
• A nonparametric approach to test for predictability
• Transformed regression-based long-horizon predictability tests
• A robust test for predictability with unknown persistence
• Asymptotic distributions of prediction errors and related tests of fit for nonstationary processes
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• Nonparametric estimation and prediction for continuous time processes
• Prediction and nonparametric estimation for time series with heavy tails

Cited in

(10)

• Size and power in tests of return predictability
• Secular mean reversion and long-run predictability of the stock market
• Time-varying predictability of the long horizon equity premium based on semiparametric regressions
• Assessing the power of long-horizon predictive tests in models of bull and bear markets
• Expectations hypotheses tests at Long Horizons
• Nonparametric testing for long-horizon predictability with persistent covariates
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• A nonparametric approach to test for predictability
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

This page was built for publication: A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5452769)