New Methods for Inference in Long-Horizon Regressions

被引:40
作者
Hjalmarsson, Erik [1 ]
机构
[1] Univ London, Sch Econ & Finance, London E1 4NS, England
关键词
STOCK RETURN PREDICTABILITY; SMALL-SAMPLE BIAS; PREDICTIVE REGRESSIONS; EFFICIENT TESTS; EXCHANGE-RATES; TIME-SERIES; INFLATION; LIKELIHOOD; VARIABLES; MODELS;
D O I
10.1017/S0022109011000135
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
I develop new results for long-horizon predictive regressions with overlapping observations. 1 show that rather than using autocorrelation robust standard errors, the standard t-statistic can simply be divided by the square root of the forecasting horizon to correct for the effects of the overlap in the data. Further, when the regressors are persistent and endogenous, the long-run ordinary least squares (OLS) estimator suffers from the same problems as the short-run OLS estimator, and it is shown how similar corrections and test procedures as those proposed for the short-run case can also be implemented in the long run. An empirical application to stock return predictability shows that, contrary to many popular beliefs, evidence of predictability does not typically become stronger at longer forecasting horizons.
引用
收藏
页码:815 / 839
页数:25
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