Research in finance and macroeconomics has routinely used multiple horizons to test asset return predictability. In a simple predictive regression model, we find the popular scaled test can have zero power when the predictor is not sufficiently persistent. A new test based on implication of the...

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

Examination over multiple horizons has been a routine in testing asset return predictability in finance and macroeconomics. In a simple predictive regression model, we find that the popular scaled test for multiple-horizon predictability has zero null rejection rate if the forecast horizon...

We consider inference of predictive regression with multiple predictors. Extant tests for predictability, including those constructed with robustness to unknown persistence and endogeneity of predictors, may perform unsatisfactorily and tend to discover spurious predictability as the number of...

We consider inference for predictive regressions with multiple predictors. Extant tests for predictability may perform unsatisfactorily and tend to discover spurious predictability as the number of predictors increases. We propose a battery of new instrumental-variables based tests which involve...

We consider inference for predictive regressions with multiple predictors. Extant tests for predictability may perform unsatisfactorily and tend to discover spurious predictability as the number of predictors increases. We propose a battery of new instrumental-variables based tests which involve...

Inference of predictive regression over multiple horizons is challenging because of over- lapping observations. We show that the size of the test based on the popular Hodrick standard errors can approach one if the horizon grows at a faster rate than the rotated norm of short-run predictability...