Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
股票收益的非线性可预测性？预测回归中的参数与非参数推断
Nonparametric test procedures in predictive regressions have χ2 limiting null distributions under both low and high regressor persistence, but low local power compared to misspecified linear predictive regressions. We argue that IV inference is better suited (in terms of local power) for analyzing additive predictive models with uncertain predictor persistence. Then, a two-step procedure is proposed for out-of-sample predictions. For the current estimation window, one first…