Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression

• Main Author: Peter C. B. PHILLIPS
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: bias; endogenous instrumentation; indirect inference; IVX estimation; local unit roots; mild integration; prediction; quantile crossing; unit roots; zero coverage probability; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1864; https://ink.library.smu.edu.sg/context/soe_research/article/2864/viewcontent/Pitfalls_av.pdf
• Institution: Singapore Management University

Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent...