Economics at your fingertips  

Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions

Anibal Emiliano Da Silva Neto, Jesus Gonzalo and Jean-Yves Pitarakis

Oxford Bulletin of Economics and Statistics, 2021, vol. 83, issue 3, 713-741

Abstract: We introduce a set of test statistics for assessing the presence of regimes in out of sample forecast errors produced by recursively estimated linear predictive regressions that can accommodate multiple highly persistent predictors. Our test statistics are designed to be robust to the chosen starting window size and are shown to be both consistent and locally powerful. Their limiting null distributions are also free of nuisance parameters and hence robust to the degree of persistence of the predictors. Our methods are subsequently applied to the predictability of the value premium whose dynamics are shown to be characterized by state dependence.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
Working Paper: Uncovering regimes in out of sample forecast errors from predictive regressions (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2023-08-12
Handle: RePEc:bla:obuest:v:83:y:2021:i:3:p:713-741