Simple tests for stock return predictability with good size and power properties

DOI10.1016/j.jeconom.2021.01.004OpenAlexW3131854316MaRDI QIDQ2043264

David I. Harvey, A. M. Robert Taylor, Stephen J. Leybourne

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.01.004

zbMATH Keywords

endogeneitypersistencepredictive regressionunit root testhybrid statisticquasi-GLS demeaning

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items

Improved tests for stock return predictability ⋮ Extensions to IVX methods of inference for return predictability

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