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A simple approach for diagnosing instabilities in predictive regressions

Pitarakis, Jean-Yves - In: Oxford bulletin of economics and statistics 79 (2017) 5, pp. 851-874

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A simple approach for diagnosing instabilities in predictive regressions

Pitarakis, Jean-Yves - 2015

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Inferring the predictability induced by a persistent regressor in a predictive threshold model

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Regime-specific predictability in predictive regressions

Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 229-241

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Uncovering regimes in out of sample forecast errors from predictive regressions

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Out of sample predictability in predictive regressions with many predictor candidates

Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020

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Inferring the predictability induced by a persistent regressor in a predictive threshold model

Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217

Persistent link: https://www.econbiz.de/10011704166

Uncovering regimes in out of sample forecast errors

Silva, Anibal Emiliano da; Gonzalo, Jesús; Pitarakis, … - 2018

Persistent link: https://www.econbiz.de/10011945978

Out-of-sample predictability in predictive regressions with many predictor candidates

Gonzalo, Jesús; Pitarakis, Jean-Yves - In: International journal of forecasting 40 (2024) 3, pp. 1166-1178

Persistent link: https://www.econbiz.de/10014547266

Regime Specific Predictability in Predictive Regressions

Gonzalo, Jesús - 2011

Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a more persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of...

Persistent link: https://www.econbiz.de/10013130031