Publication:
Uncovering regimes in out of sample forecast errors from predictive regressions

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDa Silva Neto, Anibal Emiliano
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorPitarakis, Jean-Yves
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2020-12-09T18:12:32Z
dc.date.available2020-12-09T18:12:32Z
dc.date.issued2020-12-09
dc.description.abstractWe 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.en
dc.description.sponsorshipGonzalo gratefully acknowledges financial support from the Spanish Ministerio de Economia y Competitividad (grants ECO2016-78652, PID2019-104960GB-I00, and Maria de Maeztu MDM 2014- 0431), and MadEco-CM (grant S205/HUM-3444). Pitarakis thanks the British Academy for financial support through grant SRG170220.en
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/31555
dc.identifier.uxxiDT/0000001857es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries20-14
dc.relation.projectIDGobierno de España. ECO2016-78652-Pes
dc.relation.projectIDGobierno de España. PID2019-104960GB-I00es
dc.relation.projectIDGobierno de España. MDM 2014- 0431es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC12
dc.subject.jelC22
dc.subject.jelC53
dc.subject.jelC58
dc.subject.otherPredictive Regressionsen
dc.subject.otherPredictabilityen
dc.subject.otherOut Of Sample Forecast Errorsen
dc.subject.otherCusumen
dc.subject.otherThresholdsen
dc.titleUncovering regimes in out of sample forecast errors from predictive regressionsen
dc.typeworking paper*
dspace.entity.typePublication
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