Robust block bootstrap panel predictability tests

DOI10.1080/07474938.2018.1536102zbMath1490.62273OpenAlexW2168666667WikidataQ128879945 ScholiaQ128879945MaRDI QIDQ5860960

Stephan Smeekes, Joakim Westerlund

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2018.1536102

zbMATH Keywords

panel datablock bootstrappredictive regressionstock return predictabilitysequential testingweak unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Extensions to IVX methods of inference for return predictability

Cites Work

• Cross-sectional dependence robust block bootstrap panel unit root tests
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• A bootstrap theory for weakly integrated processes
• Beyond panel unit root tests: using multiple testing to determine the nonstationarity properties of individual series in a panel
• Smoothing local-to-moderate unit root theory
• Second-order correctness of the blockwise bootstrap for stationary observations
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• A bias-adjusted LM test of error cross-section independence
• FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
• Bootstrap Methods for Time Series
• Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel
• Stepwise Multiple Testing as Formalized Data Snooping

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