A unified test for predictability of asset returns regardless of properties of predicting variables

作者：Liu, Xiaohui; Yang, Bingduo^*; Cai, Zongwu; Peng, Liang

来源：Journal of Econometrics, 2019, 208(1): 141-159.

DOI：10.1016/j.jeconom.2018.09.009

• Empirical likelihood
• Predictive regression
• Weighted score

Some unified tests have been proposed recently in the literature for testing predictability of asset returns based on a simple linear predictive regression model, which has a drawback that predicted variable cannot be stationary if the predicting variable is nonstationary. To solve this issue, this paper includes the difference of the predicting variable into the simple linear predictive regression. Furthermore, a unified empirical likelihood inference is developed to test the predictability regardless of the properties of the predicting variable. A simulation study is conducted to confirm the efficiency of the proposed methods before applying to a real example.

• 出版日期2019-1
• 单位江西财经大学; 厦门大学; 中山大学; 岭南大学