arXiv 1 May 2023 · Econometrics
arXiv:2305.00860 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we study the estimation of the threshold predictive regression model with hybrid stochastic local unit root predictors. We demonstrate the estimation procedure and derive the asymptotic distribution of the least square estimator and the IV based estimator proposed by Magdalinos and Phillips (2009), under the null hypothesis of a diminishing threshold effect. Simulation experiments focus on the finite sample performance of our proposed estimators and the corresponding predictability tests as in Gonzalo and Pitarakis (2012), under the presence of threshold effects with stochastic local unit roots. An empirical application to stock return equity indices, illustrate the usefulness of our framework in uncovering regimes of predictability during certain periods. In particular, we focus on an aspect not previously examined in the predictability literature, that is, the effect of economic policy uncertainty.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gonzalo, J. and Pitarakis, J.-Y (2012) Regime-specific predictability in predictive regressions | 0.941 | 12 | 6 | 83% |
| 2 | Gonzalo, J. and Pitarakis, J.-Y (2017) Inferring the predictability induced by a persistent regressor in a predictive threshold model | 0.928 | 4 | 4 | 100% |
| 3 | Kostakis, A., Magdalinos, T., and Stamatogiannis, M. P (2015) Robust econometric inference for stock return predictability | 0.928 | 4 | 4 | 100% |
| 4 | Lieberman, O. and Phillips, P. C (2020) Hybrid stochastic local unit roots | 0.920 | 9 | 4 | 78% |
| 5 | Caner, M. and Hansen, B. E (2001) Threshold autoregression with a unit root | 0.843 | 3 | 3 | 100% |
| 6 | Chen, H (2015) Robust estimation and inference for threshold models with integrated regressors | 0.737 | 4 | 3 | 50% |
| 7 | Hansen, B. E (1996) Inference when a nuisance parameter is not identified under the null hypothesis | 0.737 | 3 | 2 | 100% |
| 8 | Magdalinos, T. and Phillips, P. C (2009) Limit theory for cointegrated systems with moderately integrated and moderately explosive regressors | 0.737 | 3 | 2 | 100% |
| 9 | Phillips, P. C. and Magdalinos, T (2009) Econometric inference in the vicinity of unity | 0.737 | 3 | 2 | 100% |
| 10 | Chiou, Y.-Y., Chen, M.-Y., and Chen, J.-e (2018) Nonparametric regression with multiple thresholds: Estimation and inference | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 78 scored citations.