| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9570
|
| DP9570 Nonparametric Predictive Regression |
| Elena Andreou
|
| 发表日期 | 2013-07-21
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips (2012) and are obtained by kernel regression. The limit distribution of these predictive tests holds for a wide range of predictors including stationary as well as non-stationary fractional and near unit root processes. In this sense the proposed tests provide a unifying framework for predictive inference, allowing for possibly nonlinear relationships of unknown form, and offering robustness to integration order and functional form. Under the null of no predictability the limit distributions of the tests involve functionals of independent 2 variates. The tests are consistent and divergence rates are faster when the predictor is stationary. Asymptotic theory and simulations show that the proposed tests are more powerful than existing parametric predictability tests when deviations from unity are large or the predictive regression is nonlinear. Some empirical illustrations to monthly SP500 stock returns data are provided. |
| 主题 | Financial Economics
|
| 关键词 | Functional regression
Nonparametric predictability test
Nonparametric regression
Stock returns
Predictive regression
|
| URL | https://cepr.org/publications/dp9570
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538405
|
推荐引用方式
GB/T 7714 |
Elena Andreou. DP9570 Nonparametric Predictive Regression. 2013.
|
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