Predictive Regressions

Gonzalo, Jesús; Pitarakis, Jean-Yves

Publication:
Predictive Regressions

dc.affiliation.dpto	UC3M. Departamento de Economía	es
dc.contributor.author	Gonzalo, Jesús
dc.contributor.author	Pitarakis, Jean-Yves
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Economía	es
dc.date.accessioned	2019-07-08T14:04:05Z
dc.date.available	2019-07-08T14:04:05Z
dc.date.issued	2019-07
dc.description.abstract	Predictive regressions are a widely used econometric environment for assessing the predictability of economic and financial variables using past values of one or more predictors. The nature of the applications considered by practitioners often involve the use of predictors that have highly persistent smoothly varying dynamics as opposed to the much noisier nature of the variable being predicted. This imbalance tends to affect the accuracy of the estimates of the model parameters and the validity of inferences about them when one uses standard methods that do not explicitly recognise this and related complications. A growing literature that aimed at introducing novel techniques specifically designed to produce accurate inferences in such environments ensued. The frequent use of these predictive regressions in applied work has also led practitioners to question the validity of viewing predictability within a linear setting that ignores the possibility that predictability may occasionally be switched off. This in turn has generated a new stream of research aiming at introducing regime specific behaviour within predictive regressions in order to explicitly capture phenomena such as episodic predictability.	es
dc.identifier.issn	2340-5031	es
dc.identifier.uri	https://hdl.handle.net/10016/28554
dc.identifier.uxxi	DT/0000001714	es
dc.language.iso	eng	es
dc.relation.ispartofseries	Working paper. Economics	es
dc.relation.ispartofseries	19-11	es
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España	*
dc.rights.accessRights	open access	en
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/	*
dc.subject.other	Predictability	es
dc.subject.other	Persistence	es
dc.subject.other	Local To Unit Root	es
dc.subject.other	Instrumental Variables	es
dc.subject.other	Nuisance Parameters	es
dc.subject.other	Nonlinear Predictability	es
dc.subject.other	Economic Regime Shifts	es
dc.subject.other	Thresholds	es
dc.subject.other	Structural Breaks	es
dc.subject.other	Cusum	es
dc.title	Predictive Regressions	es
dc.type	working paper	*
dc.type.hasVersion	AO	*
dspace.entity.type	Publication