Improved tests for stock return predictability
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Publication:6082964
DOI10.1080/07474938.2023.2222634OpenAlexW4384298133MaRDI QIDQ6082964
A. M. Robert Taylor, David I. Harvey, Stephen J. Leybourne
Publication date: 7 December 2023
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2023.2222634
Cites Work
- Instrumental variable and variable addition based inference in predictive regressions
- A control function approach for testing the usefulness of trending variables in forecast models and linear regression
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- Simple tests for stock return predictability with good size and power properties
- Residual-augmented IVX predictive regression
- Predicting the Equity Premium with Dividend Ratios
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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