Taking stock of long-horizon predictability tests: Are factor returns predictable?
审视长期收益可预测性检验：因子收益能否预测？
This study provides a critical assessment of long-horizon return predictability tests using highly persistent regressors. We show that the commonly used statistics are typically oversized, leading to spurious inference. Instead, we propose a Wald statistic, which accommodates multiple predictors of (unknown) arbitrary persistence degree within the I(0)-I(1) range. The test statistic, based on an adaptation of the IVX procedure to a long-horizon regression framework, is shown…