TY - JOUR
T1 - On the estimation and testing of predictive panel regressions
AU - Karabiyik, H.
AU - Westerlund, Joakim
AU - Narayan, Paresh
PY - 2016
Y1 - 2016
N2 - Hjalmarsson (2010) considers an OLS-based estimator of predictive panel regressions that is argued to be mixed normal under very general conditions. In a recent paper, Westerlund et al. (2016) show that while consistent, the estimator is generally not mixed normal, which invalidates standard normal and chi-squared inference. The purpose of the present paper is to study the consequences of this theoretical result in small samples, which is done using both simulated and real data.
AB - Hjalmarsson (2010) considers an OLS-based estimator of predictive panel regressions that is argued to be mixed normal under very general conditions. In a recent paper, Westerlund et al. (2016) show that while consistent, the estimator is generally not mixed normal, which invalidates standard normal and chi-squared inference. The purpose of the present paper is to study the consequences of this theoretical result in small samples, which is done using both simulated and real data.
U2 - 10.1016/j.intfin.2016.07.003
DO - 10.1016/j.intfin.2016.07.003
M3 - Article
SN - 1042-4431
VL - 45
SP - 115
EP - 125
JO - Journal of International Financial Markets, Institutions & Money
JF - Journal of International Financial Markets, Institutions & Money
ER -