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非平稳波动环境下股票收益可预测性的实时监测AI 解读

Stock return predictability, should it exist, is likely to be episodic in nature. In order to exploit such pockets of predictability it is essential that they are rapidly detected, in real-time, as the nascent predictive regime emerges. This will typically entail the repeated (sequential) application of one-shot end-of-sample predictability statistics, updated as new data become available. Consequently, in addition to dealing with the usual inference problems caused by…

持续性与异方差预测变量下的预测分位数回归：高功效的两阶段最小二乘检验方法AI 解读

Funding Information: The authors thank the Co-Editor, Michael Jansson, an Associate Editor and two anonymous referees for their helpful and constructive comments. We also thank participants of the IAAE Annual conference 2023 at the BI Norwegian Business School, Oslo, Norway, and seminar participants at the University of the Balearic Islands, Palma de Maiorca, Spain for their comments. Demetrescu gratefully acknowledges the support of the Deutsche Forschungsgemeinschaft (DFG,…

基于变换回归的长预测期可预测性检验AI 解读

We propose new tests for long-horizon predictability based on IVX estimation of a transformed regression which explicitly accounts for the over-lapping nature of the dependent variable in the long-horizon regression arising from temporal aggregation. To improve efficiency, we moreover incorporate the residual augmentation approach recently used in the context of short-horizon predictability testing by Demetrescu and Rodrigues (2022). Our proposed tests improve on extant…

收益可预测性 IVX 推断方法的扩展AI 解读

The contribution of this paper is threefold. First, we demonstrate that, provided either a suitable bootstrap implementation is employed or heteroskedasticity-consistent standard errors are used, the IVX-based predictability tests of Kostakis et al. (2015) retain asymptotically valid inference under the null hypothesis under considerably weaker assumptions on the innovations than are required by Kostakis et al. (2015). Second, under the same assumptions, we develop…

时变波动下的稳健推断：专业预测者的实时评估AI 解读

Summary In many forecast evaluation applications, standard tests as well as tests allowing for time‐variation in relative forecast ability build on heteroskedasticity‐and‐autocorrelation consistent (HAC) covariance estimators. Yet, the finite‐sample performance of these asymptotics is often poor. “Fixed‐ ” asymptotics, used to account for long‐run variance estimation, improve finite‐sample performance under homoskedasticity, but lose asymptotic pivotality under time‐varying…

残差增广的 IVX 预测回归AI 解读

Bias correction in predictive regressions is known to reduce the empirical size problems of OLS-based predictability tests with persistent predictors. This paper shows that bias correction is also achieved in the context of the extended instrumental variable (IVX) predictability testing framework introduced by Kostakis et al. (2015). To be specific, new IVX-based statistics subject to a bias correction analogous to that proposed by Amihud and Hurvich (2004) are introduced.…

股票收益阶段性可预测性的检验AI 解读

Standard tests based on predictive regressions estimated over the full available sample data have tended to find little evidence of predictability in stock returns. Recent approaches based on the analysis of subsamples of the data suggest in fact that predictability where it occurs might exist only within so-called “pockets of predictability” rather than across the entire sample. However, these methods are prone to the criticism that the subsample dates are endogenously…

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AI 解读

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…

预测回归中基于 IVX 检验的有限样本尺寸控制AI 解读

In predictive regressions with variables of unknown persistence, the use of extended IV (IVX) instruments leads to asymptotically valid inference. Under highly persistent regressors, the standard normal or chi-squared limiting distributions for the usual t and Wald statistics may, however, differ markedly from the actual finite-sample distributions which exhibit in particular noncentrality. Convergence to the limiting distributions is shown to occur at a rate depending on…

重新评估欧盟经济预测的审慎性：工具变量持久性的作用AI 解读

Summary Christodoulakis and Mamatzakis (2009, Journal of Applied Econometrics 24, pp. 583–606) estimate the EU Commission loss preferences for selected economic forecasts of 12 EU Member States. They employ the generalized method of moments (GMM) estimation procedure proposed by Elliott et al. (2005, Review of Economic Studies 72, pp. 1107–1125) and find the forecasts to be somewhat optimistic on average. However, this note shows the GMM estimator to possess nonstandard…

Summary The paper proposes a test for constant correlations that allow for breaks at unknown times in the marginal means and variances. Theoretically and in an application to US and German stock returns, we find that not accounting for changes in the marginal moments has severe consequences. This is because incorrect standardization of the series transfers to the sample correlations onto which the tests are built. Correcting for variance breaks at unknown time will have an…

长自回归何时能够吸收被忽略的参数变化？AI 解读

To construct forecasts for time series exhibiting breaks, the paper examines long autoregressions, where the number of lags is growing with T , and possible breaks are simply ignored. The paper shows that the OLS estimators are still elementwise consistent for the true autoregressive coefficients when neglecting a break in mean, but the sum of the estimators converges to unity. Thanks to this unit-root like behavior of the fitted model, the resulting conditional forecasts…

大N面板数据模型中无截面相关的定向检验AI 解读

Summary The paper proposes tests for no cross‐correlation based on the information matrix equality. The tests rely on suitably weighted residual cross‐covariances or cross‐correlations, and are in this sense a generalization of Pesaran's (2004, CESifo working paper 1229) test for no cross‐sectional dependence. They follow chi‐squared distributions under joint N , T asymptotics without restrictive sphericity or distributional assumptions. When using the outcome of the…

预测回归中基于工具变量与变量增补的推断AI 解读

Valid inference in predictive regressions depends in a crucial manner on the degree of persistence of the predictor variables. The paper studies test procedures that are robust in the sense that their asymptotic null distributions are invariant to the persistence of the predictor, that is, the limiting distribution is the same irrespective of whether the regressors are stationary or (nearly) integrated. Existing procedures are often conservative (e.g. tests based on…

使用柯西估计量的异方差面板单位根检验AI 解读

The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with…

When applying Johansen's procedure for determining the cointegrating rank to systems of variables with linear deterministic trends, there are two possible tests to choose from. One test allows for a trend in the cointegration relations and the other one restricts the trend to being orthogonal to the cointegration relations. The first test is known to have reduced power relative to the second one if there is in fact no trend in the cointegration relations, whereas the second…

时域中的长记忆检验AI 解读

An integration test against fractional alternatives is suggested for univariate time series. The new test is a completely regression-based, lag augmented version of the Lagrange multiplier (LM) test by Robinson (1991, Journal of Econometrics 47, 67–84). Our main contributions, however, are the following. First, we let the short memory component follow a general linear process. Second, the innovations driving this process are martingale differences with eventual conditional…