arXiv 1 Feb 2025 · Econometrics
arXiv:2502.00475 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a new method for testing the statistical significance of estimated parameters in predictive regressions. The approach features a new family of test statistics that are robust to the degree of persistence of the predictors. Importantly, the method accounts for serial correlation and conditional heteroskedasticity without requiring any corrections or adjustments. This is achieved through a mechanism embedded within the test statistics that effectively decouples serial dependence present in the data. The limiting null distributions of these test statistics are shown to follow a chi-square distribution, and their asymptotic power under local alternatives is derived. A comprehensive set of simulation experiments illustrates their finite sample size and power properties.
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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 | |
|---|---|---|---|---|---|
| Phillips | unmatched citation key Phillips | 0.511 | 2 | 1 | 100% |
| Breitung and Demetrescu | unmatched citation key Breitung and Demetrescu | 0.405 | 1 | 1 | 100% |
| Elmachkouri2007 | unmatched citation key Elmachkouri2007 | 0.405 | 1 | 1 | 100% |
| Kostakis | unmatched citation key Kostakis | 0.405 | 1 | 1 | 100% |
| Lahiri2009 | unmatched citation key Lahiri2009 | 0.405 | 1 | 1 | 100% |
| Liu | unmatched citation key Liu | 0.405 | 1 | 1 | 100% |
| Magdalinos | unmatched citation key Magdalinos | 0.405 | 1 | 1 | 100% |
| Magdalinos and Phillips | unmatched citation key Magdalinos and Phillips | 0.405 | 1 | 1 | 100% |
| Magdalinos and Stamatogiannis | unmatched citation key Magdalinos and Stamatogiannis | 0.405 | 1 | 1 | 100% |
| Peng and Cai | unmatched citation key Peng and Cai | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 12 scored citations. 10 of these could not be matched to a bibliography entry, so only the citation key is shown.