预测性回归中的可预测性和结构断裂联合检验

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-05 DOI:10.1007/s00181-024-02572-5

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引用次数: 0

摘要

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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A joint test of predictability and structural break in predictive regressions

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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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.