Robust block bootstrap panel predictability tests

Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions. Some of the allowable features include heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity.

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Year of publication:	2013
Authors:	Westerlund J. ; Smeekes S.
Institutions:	Graduate School of Business and Economics (GSBE), School of Business and Economics
Subject:	Statistical Simulation Methods: General \| Single Equation Models \| Single Variables: Time-Series Models \| Dynamic Quantile Regressions \| Dynamic Treatment Effect Models \| Single Variables: Models with Panel Data \| Longitudinal Data \| Spatial Time Series \| Financial Crises \| Asset Pricing \| Trading volume \| Bond Interest Rates

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Extent:	application/pdf
Series:	Research Memorandum.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Research Memorandum Number 060
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C23 - Models with Panel Data ; G01 - Financial Crises ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010856546