Template-type: ReDif-Paper 1.0
Author-Name: Westerlund J. 
Author-Name: Smeekes S. 
Author-workplace-name: GSBE
Title: Robust block bootstrap panel predictability tests
Abstract: Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions. Some of the allowable features include heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity.
Keywords: Statistical Simulation Methods: General; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Single Equation Models; Single Variables: Models with Panel Data; Longitudinal Data; Spatial Time Series; Financial Crises; Asset Pricing; Trading volume; Bond Interest Rates; 
Classification-JEL: C15; C22; C23; G01; G12; .
Series:  Research Memorandum
Creation-Date: 2013
Number: 060
File-URL: http://pub.maastrichtuniversity.nl/3e67aa05-ecba-4d2c-a944-b790f47457be
File-Format: application/pdf
File-Size: 362398
Handle: RePEc:unm:umagsb:2013060