On the estimation and testing of predictive panel regressions
Data(s) |
29/07/2016
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Resumo |
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. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30085846/westerlund-ontheestimation-inpress-2016.pdf http://www.dx.doi.org/10.1016/j.intfin.2016.07.003 |
Direitos |
2016, Elsevier |
Palavras-Chave | #panel data #predictive regression #common factors #mixed normality |
Tipo |
Journal Article |