On the estimation and testing of predictive panel regressions

Hande Karabiyik, Joakim Westerlund and Paresh Narayan ()

Journal of International Financial Markets, Institutions and Money, 2016, vol. 45, issue C, 115-125

Abstract: 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.

Keywords: Panel data; Predictive regression; Common factors; Mixed normality (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:45:y:2016:i:c:p:115-125

DOI: 10.1016/j.intfin.2016.07.003

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