returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto … are adjusted for high persistence. …

framework, we analyze the consequences of the widely used detrending technique popularized by Hodrick and Prescott (1980). It is … shown that mechanical detrending based on the Hodrick-Prescott fitter can lead investigators to report spurious cyclical …

coefficient. We also compare the persistence of shocks to the conditional mean relative to the observed variable using mea sures … of total and iterim persistence of shocks for stationary processes based on the impulse response function. We apply our …

effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of … such innovations. The overall contribution of the variable is evaluated in an out-of-sample forecasting exercise, where we …

The forecasting literature has identified three important and broad issues: the predictive content is unstable over … predictors. In this paper, we simultaneously address these three issues, proposing to directly treat the persistence of … forecasting variables before use. We thus cut-out the low frequency components and show, in simulations and on financial data …