TY - JOUR
T1 - On the estimation and testing of predictive panel regressions
AU - Karabiyik, Hande
AU - Westerlund, Joakim
AU - Narayan, Paresh
N1 - Funding Information:
Karabiyik and Westerlund would like to thank the Knut and Alice Wallenberg Foundation for financial support through a Wallenberg Academy Fellowship, and the Jan Wallander and Tom Hedelius Foundation for financial support under research grant number P20140112:1 .
Publisher Copyright:
© 2016 Elsevier B.V.
Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.
PY - 2016/11
Y1 - 2016/11
N2 - Hjalmarsson (2010) considers an OLS-based estimator of predictive panel regressions that is argued to be mixed normal under very general conditions. In a recent paper, Westerlund et al. (2016) show that while consistent, the estimator is generally not mixed normal, which invalidates standard normal and chi-squared inference. The purpose of the present paper is to study the consequences of this theoretical result in small samples, which is done using both simulated and real data.
AB - Hjalmarsson (2010) considers an OLS-based estimator of predictive panel regressions that is argued to be mixed normal under very general conditions. In a recent paper, Westerlund et al. (2016) show that while consistent, the estimator is generally not mixed normal, which invalidates standard normal and chi-squared inference. The purpose of the present paper is to study the consequences of this theoretical result in small samples, which is done using both simulated and real data.
KW - Common factors
KW - Mixed normality
KW - Panel data
KW - Predictive regression
UR - http://www.scopus.com/inward/record.url?scp=84981731676&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2016.07.003
DO - 10.1016/j.intfin.2016.07.003
M3 - Article
AN - SCOPUS:84981731676
SN - 1042-4431
VL - 45
SP - 115
EP - 125
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
ER -