Extensions to IVX methods of inference for return predictability

Detalhes bibliográficos
Autor(a) principal: Demetrescu, Matei
Data de Publicação: 2023
Outros Autores: Georgiev, Iliyan, Rodrigues, Paulo M.M., Taylor, A. M.Robert
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/161418
Resumo: Funding Information: The authors thank three anonymous referees, the Co-Editor (Torben Andersen), and Tassos Magdalinos for their helpful and constructive feedback on earlier versions of this paper. Rodrigues gratefully acknowledges financial support from the Portuguese Science Foundation (FCT) through project PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209), POR Lisboa, Portugal ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209) and POR Norte, Portugal (Social Sciences DataLab, Project 22209). Taylor gratefully acknowledges financial support provided by the Economic and Social Research Council of the United Kingdom under research grant ES/R00496X/1 . Publisher Copyright: © 2022 The Authors
id RCAP_ea79493a16333639481389efb0ee254a
oai_identifier_str oai:run.unl.pt:10362/161418
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Extensions to IVX methods of inference for return predictability(Un)conditional heteroskedasticityEndogeneityIVX estimationPredictive regressionResidual wild bootstrapSubsample testsUnknown regressor persistenceEconomics and EconometricsFunding Information: The authors thank three anonymous referees, the Co-Editor (Torben Andersen), and Tassos Magdalinos for their helpful and constructive feedback on earlier versions of this paper. Rodrigues gratefully acknowledges financial support from the Portuguese Science Foundation (FCT) through project PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209), POR Lisboa, Portugal ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209) and POR Norte, Portugal (Social Sciences DataLab, Project 22209). Taylor gratefully acknowledges financial support provided by the Economic and Social Research Council of the United Kingdom under research grant ES/R00496X/1 . Publisher Copyright: © 2022 The AuthorsThe 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 asymptotically valid bootstrap implementations of the IVX tests. Monte Carlo simulations show that the bootstrap tests deliver considerably more accurate finite sample inference than the asymptotic implementations of the tests under certain problematic parameter constellations, most notably for one-sided testing, and where multiple predictors are included. Third, we show how sub-sample implementations of the IVX approach can be used to develop asymptotically valid one-sided and two-sided tests for the presence of temporary windows of predictability.NOVA School of Business and Economics (NOVA SBE)RUNDemetrescu, MateiGeorgiev, IliyanRodrigues, Paulo M.M.Taylor, A. M.Robert2023-12-18T22:25:59Z2023-122023-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/161418eng0304-4076PURE: 43544668https://doi.org/10.1016/j.jeconom.2022.02.007info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:44:18Zoai:run.unl.pt:10362/161418Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:58:30.996429Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Extensions to IVX methods of inference for return predictability
title Extensions to IVX methods of inference for return predictability
spellingShingle Extensions to IVX methods of inference for return predictability
Demetrescu, Matei
(Un)conditional heteroskedasticity
Endogeneity
IVX estimation
Predictive regression
Residual wild bootstrap
Subsample tests
Unknown regressor persistence
Economics and Econometrics
title_short Extensions to IVX methods of inference for return predictability
title_full Extensions to IVX methods of inference for return predictability
title_fullStr Extensions to IVX methods of inference for return predictability
title_full_unstemmed Extensions to IVX methods of inference for return predictability
title_sort Extensions to IVX methods of inference for return predictability
author Demetrescu, Matei
author_facet Demetrescu, Matei
Georgiev, Iliyan
Rodrigues, Paulo M.M.
Taylor, A. M.Robert
author_role author
author2 Georgiev, Iliyan
Rodrigues, Paulo M.M.
Taylor, A. M.Robert
author2_role author
author
author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Demetrescu, Matei
Georgiev, Iliyan
Rodrigues, Paulo M.M.
Taylor, A. M.Robert
dc.subject.por.fl_str_mv (Un)conditional heteroskedasticity
Endogeneity
IVX estimation
Predictive regression
Residual wild bootstrap
Subsample tests
Unknown regressor persistence
Economics and Econometrics
topic (Un)conditional heteroskedasticity
Endogeneity
IVX estimation
Predictive regression
Residual wild bootstrap
Subsample tests
Unknown regressor persistence
Economics and Econometrics
description Funding Information: The authors thank three anonymous referees, the Co-Editor (Torben Andersen), and Tassos Magdalinos for their helpful and constructive feedback on earlier versions of this paper. Rodrigues gratefully acknowledges financial support from the Portuguese Science Foundation (FCT) through project PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209), POR Lisboa, Portugal ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209) and POR Norte, Portugal (Social Sciences DataLab, Project 22209). Taylor gratefully acknowledges financial support provided by the Economic and Social Research Council of the United Kingdom under research grant ES/R00496X/1 . Publisher Copyright: © 2022 The Authors
publishDate 2023
dc.date.none.fl_str_mv 2023-12-18T22:25:59Z
2023-12
2023-12-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/161418
url http://hdl.handle.net/10362/161418
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0304-4076
PURE: 43544668
https://doi.org/10.1016/j.jeconom.2022.02.007
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799138165837004800

Registros relacionados