Robust block bootstrap panel predictability tests

DOI10.1080/07474938.2018.1536102MaRDI QIDQ5860960zbMATH OpenOpenAlexWikidataFDO

Authors Stephan Smeekes, Joakim Westerlund

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

block bootstrappanel datapredictive regressionsequential testingstock return predictabilityweak unit roots

Mathematics Subject Classification ID

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

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Cites work

• A bias-adjusted LM test of error cross-section independence
• 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
• Bootstrap Methods for Time Series
• Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
• Cross-sectional dependence robust block bootstrap panel unit root tests
• FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Second-order correctness of the blockwise bootstrap for stationary observations
• Smoothing local-to-moderate unit root theory
• Stepwise Multiple Testing as Formalized Data Snooping

Cited in

(2)

• A robust test for predictability with unknown persistence
• Extensions to IVX methods of inference for return predictability

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