Regime-Specific Predictability in Predictive Regressions
Regime-Specific Predictability in Predictive Regressions
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DOI：
10.1080/07350015.2011.652053
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发表时间：
2010-12
影响因子：
3
通讯作者：
J. Gonzalo;Jean-Yves Pitarakis
中科院分区：
文献类型：
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作者：
J. Gonzalo;Jean-Yves Pitarakis
预测回归是将噪声变量(如股票收益)与非常持久的回归变量的过去值联系起来的线性规范，目的是评估可预测性的存在。出现的关键并发症是内生性的潜在存在和渐近近似的不良充分性。在这篇文章中，当可预测性的强度或方向可能在不同的具有经济意义的事件中交替时，我们开发了用于揭示此类模型中可预测性存在的测试。一个经验性的应用重新考虑了基于股息收益率的回报可预测性，并证明了一种强烈的反周期可预测性，仅发生在经济低迷时期。这篇文章有在线补充材料。
Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of asymptotic approximations. In this article, we develop tests for uncovering the presence of predictability in such models when the strength or direction of predictability may alternate across different economically meaningful episodes. An empirical application reconsiders the dividend yield-based return predictability and documents a strong predictability that is countercyclical, occurring solely during bad economic times. This article has online supplementary materials.