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On the Estimation and Testing of Predictive Panel Regressions

Karabiyik, Hande LU ; Westerlund, Joakim LU and Narayan, Paresh Kumar (2016) In Journal of International Financial Markets, Institutions, and Money 45. p.115-125
Abstract
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.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Common factors, Mixed normality, Panel data, Predictive regression
in
Journal of International Financial Markets, Institutions, and Money
volume
45
pages
11 pages
publisher
North-Holland
external identifiers
  • Scopus:84981731676
ISSN
1042-4431
DOI
10.1016/j.intfin.2016.07.003
language
English
LU publication?
yes
id
6cc5b44b-4e88-4f6a-8073-4d2c794808c7
date added to LUP
2016-05-14 14:27:54
date last changed
2017-02-05 04:50:02
@article{6cc5b44b-4e88-4f6a-8073-4d2c794808c7,
  abstract     = {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.},
  author       = {Karabiyik, Hande and Westerlund, Joakim and Narayan, Paresh Kumar},
  issn         = {1042-4431},
  keyword      = {Common factors,Mixed normality,Panel data,Predictive regression},
  language     = {eng},
  pages        = {115--125},
  publisher    = {North-Holland},
  series       = {Journal of International Financial Markets, Institutions, and Money},
  title        = {On the Estimation and Testing of Predictive Panel Regressions},
  url          = {http://dx.doi.org/10.1016/j.intfin.2016.07.003},
  volume       = {45},
  year         = {2016},
}