Taking stock of long-horizon predictability tests: are factor returns predictable?

DOI10.1016/j.jeconom.2022.10.009OpenAlexW4321213234MaRDI QIDQ6090589

Tassos Magdalinos, Michalis P. Stamatogiannis, Alexandros Kostakis

Publication date: 17 November 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.10.009

Mathematics Subject Classification ID

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

Cites Work

• Optimal Inference in Regression Models with Nearly Integrated Regressors
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED¹
• On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
• Time Series Regression with a Unit Root
• Common risk factors in the returns on stocks and bonds
• Unnamed Item

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