A joint test of predictability and structural break in predictive regressions

IF 1.9 4区经济学 Q2 ECONOMICS

Empirical Economics Pub Date : 2024-03-05 DOI:10.1007/s00181-024-02572-5

引用次数: 0

Abstract

This paper explores a joint test of predictability and one-time structural break, both of which are assumed to be absent under the null hypothesis. The test combines IVX estimator with a sup-Wald-type statistic. The limiting distribution of the test statistic is expected to be non-pivotal under (near-)integration. Nevertheless, for univariate cases, the distribution is highly insensitive to the variation of unestimable nuisance parameter. We hence propose to use critical values from the pivotal distribution derived under stationarity for empirical study. Simulation results suggest that this approach delivers satisfactory and robust inference in finite sample. An empirical application to the predictability of US stock returns is provided.

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预测性回归中的可预测性和结构断裂联合检验

摘要本文探讨了可预测性和一次性结构断裂的联合检验，在零假设下，这两种情况都被假定为不存在。该检验结合了 IVX 估计器和 sup-Wald 型统计量。在（近）整合情况下，检验统计量的极限分布预计是非枢轴性的。然而，在单变量情况下，该分布对无法估计的滋扰参数的变化非常不敏感。因此，我们建议使用在静态条件下得出的中枢分布临界值进行实证研究。模拟结果表明，这种方法能在有限样本中提供令人满意的稳健推断。我们还提供了美国股票回报可预测性的经验应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Empirical Economics Multiple-

CiteScore

4.40

自引率

0.00%

发文量

157

期刊介绍： Empirical Economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well as econometric methods and measurement. Empirical Economics emphasizes the replicability of empirical results. Replication studies of important results in the literature - both positive and negative results - may be published as short papers in Empirical Economics. Authors of all accepted papers and replications are required to submit all data and codes prior to publication (for more details, see: Instructions for Authors).The journal follows a single blind review procedure. In order to ensure the high quality of the journal and an efficient editorial process, a substantial number of submissions that have very poor chances of receiving positive reviews are routinely rejected without sending the papers for review.Officially cited as: Empir Econ