On the estimation and testing of predictive panel regressions

Hande Karabiyik, Joakim Westerlund, Paresh Narayan

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)115-125
Number of pages11
JournalJournal of International Financial Markets, Institutions and Money
Publication statusPublished - Nov 2016
Externally publishedYes


  • Common factors
  • Mixed normality
  • Panel data
  • Predictive regression

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