We propose a dynamic subset forecast combination approach to investigate local predictability of aggregate stock returns in high dimensions. Our method accommodates a vast number of heterogeneous predictive signals and is designed to pick up structural changes. Based on more than 12,000...

Motivated by the present-value framework, this article proposes a novel and flexible semiparametric time-varying model to examine the so-called `pockets of predictability,' i.e., stock returns or cash flows are significantly predictable in a given local period. We apply a semiparametric profile...

This paper provides the uniform asymptotic theory for local projection (LP) regression when the true lag order of the model is unknown, possibly in nity. The theory allows for various persistence levels of the data, growing response horizons, and general conditionally heteroskedastic shocks....

This paper provides the uniform asymptotic theory for local projection (LP) regression when the true lag order of the model is unknown, possibly infinity. The theory allows for various persistence levels of the data, growing response horizons, and general conditionally heteroskedastic shocks....

Many of the challenges in the estimation of dynamic heterogeneous treatment effects can be resolved with local projection (LP) estimators of the sort used in applied macroeconometrics. This approach provides a convenient alternative to the more complicated solutions proposed in the recent...