Está aqui

A Class of Robust Tests in Augmented Predictive Regressions

Antonio Rubia
Ano de Divulgação 
Código JEL 
C12 - Hypothesis Testing
C22 - Time-Series Models
This paper focuses on the analytical discussion of a robust t-test for predictability and on the analysis of its finite-sample properties. Our analysis shows that the procedure proposed exhibits approximately correct size even in fairly small samples. Furthermore, the test is well-behaved under short-run dependence, and can exhibit improved power performance over alternative procedures. These appealing properties, together with the fact that the test can be applied in a simple and direct way in the linear regression context, suggests that the modified t-statistic introduced in this paper is well suited for addressing predictability in empirical applications.
Link para documento 
Publicado como