Non-Stationary Parametric Single-Index Predictive Models: Simulation and Empirical Studies

Ying Zhou, Hsein Kew and Jiti Gao

A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 349-365 from Emerald Group Publishing Limited

Abstract: This chapter considers the estimation of a parametric single-index predictive regression model with integrated predictors. This model can handle a wide variety of non-linear relationships between the regressand and the single-index component containing either the cointegrated predictors or the non-cointegrated predictors. The authors introduce a new estimation procedure for the model and investigate its finite sample properties via Monte Carlo simulations. This model is then used to examine stock return predictability via various combinations of integrated lagged economic and financial variables.

Keywords: Non-linearity; non-stationarity; single-index models; stock return predictability; cointegration; constrained least squares estimator; C13; C14; C32; C51 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-90532023000045a012

DOI: 10.1108/S0731-90532023000045A012

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