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...

The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full collection of models and successively eliminates the...