This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 298
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #308964
Title: Robust Inference in Predictive Regressions
Author(s): Paulo M.M. Rodrigues*+ and Antonio Rubia
Companies: Banco de Portugal and University of Alicante
Address: , Lisbon, , Portugal
Keywords: Predictive regression ; persistence ; stationarity ; Bonferroni based tests ; modified tests
Abstract:

In this paper we discuss new tests for predictability which are inspired in the work of Vogelsang (1998) on testing for trend. The proposed tests, use by design the same critical values irrespectively of whether the predictor is I(0) or I(1) and are therefore capable of detecting a more general set of alternatives, which are presently excluded by available procedures (exceptions being the tests of Deo and Chen, 2008 and Maynard and Shimotsu, 2009). Numerical evidence suggests that our proposed procedures have good finite sample performance which coupled with the simplicity of application makes them appealing approaches for empirical research and useful alternatives to available procedures.


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