EconPapers    
Economics at your fingertips  
 

Uncovering regimes in out of sample forecast errors from predictive regressions

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

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

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 tests statistics are designed to be robust to the chosen starting window size and are shown to be both consistent and locally powerful. Their limiting none distributionsare 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 characterised by state dependence.

Keywords: Thresholds; Cusum; Out; Of; Sample; Forecast; Errors; Predictability; Predictive; Regressions (search for similar items in EconPapers)
JEL-codes: C58 C53 C22 C12 (search for similar items in EconPapers)
Date: 2020-12-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://e-archivo.uc3m.es/bitstream/handle/10016/31555/we2014.pdf?sequence=1 (application/pdf)

Related works:
Journal Article: Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions (2021) 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: https://EconPapers.repec.org/RePEc:cte:werepe:31555

Access Statistics for this paper

More papers in UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía
Bibliographic data for series maintained by Ana Poveda ().

 
Page updated 2021-06-06
Handle: RePEc:cte:werepe:31555