RT Generic
T1 Uncovering regimes in out of sample forecast errors from predictive regressions
A1 Da Silva Neto, Anibal Emiliano
A1 Gonzalo, Jesús
A1 Pitarakis, Jean-Yves
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB 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.
SN 2340-5031
YR 2020
FD 2020-12-09
LK https://hdl.handle.net/10016/31555
UL https://hdl.handle.net/10016/31555
LA eng
NO Gonzalo gratefully acknowledges financial support from the Spanish Ministerio deEconomia 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 grantSRG170220.
DS e-Archivo
RD 1 sept. 2024