Extensions to IVX methods of inference for return predictability

DOI10.1016/J.JECONOM.2022.02.007MaRDI QIDQ6090572zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Iliyan Georgiev, Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date 17 November 2023

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2022.02.007

zbMATH Keywords

(un)conditional heteroskedasticityendogeneityIVX estimationpredictive regressionresidual wild bootstrapsubsample testsunknown regressor persistence

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Recent advances in invariance principles for stationary sequences
• Robust block bootstrap panel predictability tests
• Sample Splitting and Threshold Estimation
• Simple tests for stock return predictability with good size and power properties
• Testing for episodic predictability in stock returns
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for parameter instability in predictive regression models

Cited in

(2)

• A new Portmanteau test for predictive regression models with possible embedded endogeneity
• Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach

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