Template-type: ReDif-Paper 1.0
Author-Name: Westerlund, J.
Author-workplace-name: Externe publicaties SBE
Author-Name: Smeekes, S.
Author-workplace-name: Quantitative Economics
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.
Series: GSBE Research Memoranda
Creation-Date: 20130101
Number: 060
File-URL: https://cris.maastrichtuniversity.nl/ws/files/1132028/guid-3e67aa05-ecba-4d2c-a944-b790f47457be-ASSET1.0.pdf
File-Format: application/pdf
File-Size: 362398
Handle: Repec:unm:umagsb:2013060
DOI: 10.26481/umagsb.2013060