Nonparametric Predictive Regression

• Main Authors: KASPARIS, Ioannis, ANDREOU, Elena, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Fractional Ornstein-Uhlenbeck process; Functional regression; Nonparametric predictability test; Nonparametric regression; Stock returns; Predictive regression; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1836; https://ink.library.smu.edu.sg/context/soe_research/article/2835/viewcontent/NonparametricPredictiveRegression_2015.pdf
• Institution: Singapore Management University

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance parameter f...