RT Generic
T1 Out of sample predictability in predictive regressions with many predictor candidates
A1 Gonzalo, Jesús
A1 Pitarakis, Jean-Yves
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB This paper is concerned with detecting the presence of out of sample predictability in linear predictive regressions with a potentially large set of candidate predictors. We propose a procedure based on out of sample MSE comparisons that is implementedin a pairwise manner using one predictor at a time and resulting in an aggregate test statistic that is standard normally distributed under the none hypothesis of no linear predictability. Predictors can be highly persistent, purely stationary or a combination of both. Upon rejection of the none hypothesis we subsequently introduce a predictor screening procedure designed to identify the most active predictors.
SN 2340-5031
YR 2020
FD 2020-12-09
LK https://hdl.handle.net/10016/31554
UL https://hdl.handle.net/10016/31554
LA eng
DS e-Archivo
RD 16 jul. 2024