Taking stock of long-horizon predictability tests: are factor returns predictable?

DOI10.1016/J.JECONOM.2022.10.009MaRDI QIDQ6090589zbMATH OpenOpenAlexFDO

Authors Alexandros Kostakis, Tassos Magdalinos, Michalis P. Stamatogiannis

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.2022.10.009

Mathematics Subject Classification ID

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

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• Financial markets and the real economy.
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED¹
• Time Series Regression with a Unit Root

Cited in

(2)

• Long horizon predictability: an asset allocation perspective
• Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach

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