Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Robust Block Bootstrap Panel Predictability Tests
Författare
Summary, in English
This article develops two block bootstrap-based panel predictability test procedures that are valid under very general conditions. Some of the allowable features include cross-sectional dependence, heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity. While the first test procedure tests if there is any predictability at all, the second procedure determines the units for which predictability holds in case of a rejection by the first. A weak unit root framework is adopted to allow persistent predictors, and a novel theory is developed to establish asymptotic validity of the proposed bootstrap. Simulations are used to evaluate the performance of our tests in small samples, and their implementation is illustrated through an empirical application to stock returns.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2019
Språk
Engelska
Sidor
1089-1107
Publikation/Tidskrift/Serie
Econometric Reviews
Volym
38
Issue
9
Dokumenttyp
Artikel i tidskrift
Förlag
Taylor & Francis
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0747-4938