Robust block bootstrap panel predictability tests

Joakim Westerlund and Stephan Smeekes

No 60, Research Memorandum from Maastricht University, Graduate School of Business and Economics (GSBE)

Abstract: Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions. Some of the allowable features include heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity.

Date: 2013-01-01
New Economics Papers: this item is included in nep-ets
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Journal Article: Robust block bootstrap panel predictability tests (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:unm:umagsb:2013060

DOI: 10.26481/umagsb.2013060

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