全球智库信息集成服务系统(G2TT): The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/t0298
来源ID	Technical Working Paper 0298
	The Use of Predictive Regressions at Alternative Horizons in Finance and Economics
	Nelson C. Mark; Donggyu Sul
发表日期	2004-08-23
出版年	2004
语种	英语
摘要	When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is unpredictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power of the long-horizon predictive regression test dominates that of the short-horizon test over a nontrivial region of the admissible parameter space. In practice, small sample OLS bias, which differs under the null and the alternative, can distort the size and reduce the power gains of long-horizon tests. To overcome these problems, we suggest a moving block recursive Jackknife estimator of the predictive regression slope coefficient and test statistics that is appropriate under both the null and the alternative. The methods are applied to testing whether future stock returns are predictable. Consistent evidence in favor of return predictability shows up at the 5 year horizon.
主题	Econometrics ; Estimation Methods
URL	https://www.nber.org/papers/t0298
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/568290
推荐引用方式 GB/T 7714	Nelson C. Mark,Donggyu Sul. The Use of Predictive Regressions at Alternative Horizons in Finance and Economics. 2004.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
t0298.pdf（372KB）	智库出版物		限制开放	CC BY-NC-SA	浏览