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预测分位数回归的统一推断AI 解读

The asymptotic behavior of quantile regression inference becomes dramatically different when it involves a persistent predictor with zero or nonzero intercept. Distinguishing various properties of a predictor is empirically challenging. In this article, we develop a unified predictability test for quantile regression regardless of the presence of intercept and persistence of a predictor. The developed test is a novel combination of data splitting, weighted inference, and a…

动态预测回归的统一检验AI 解读

Testing for predictability of asset returns has been a long history in economics and finance. Recently, based on a simple predictive regression, Kostakis, Magdalinos, and Stamatogiannis derived a Wald type test based on the context of the extended instrumental variable (IVX) methodology for testing predictability of stock returns, and Demetrescu showed that the local power of the standard IVX-based test could be improved for some range of alternative hypotheses and the…

适应预测变量不同性质的资产收益可预测性统一检验AI 解读

Some unified tests have been proposed recently in the literature for testing predictability of asset returns based on a simple linear predictive regression model, which has a drawback that predicted variable cannot be stationary if the predicting variable is nonstationary. To solve this issue, this paper includes the difference of the predicting variable into the simple linear predictive regression. Furthermore, a unified empirical likelihood inference is developed to test…