On the estimation and testing of predictive panel regressions

Karabiyik, Hande, Westerlund, Per and Narayan, Paresh 2016, On the estimation and testing of predictive panel regressions, Journal of international financial markets, institutions and money, vol. 45, pp. 115-125, doi: 10.1016/j.intfin.2016.07.003.

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Title On the estimation and testing of predictive panel regressions
Author(s) Karabiyik, Hande
Westerlund, PerORCID iD for Westerlund, Per orcid.org/0000-0002-8030-5706
Narayan, PareshORCID iD for Narayan, Paresh orcid.org/0000-0001-7934-8146
Journal name Journal of international financial markets, institutions and money
Volume number 45
Start page 115
End page 125
Total pages 11
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-11
ISSN 1042-4431
Keyword(s) panel data
predictive regression
common factors
mixed normality
Social Sciences
Business, Finance
Business & Economics
Summary 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.
Language eng
DOI 10.1016/j.intfin.2016.07.003
Field of Research 150202 Financial Econometrics
1502 Banking, Finance And Investment
1402 Applied Economics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30085846

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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