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(12-29PM4:10)第456期岭南学术论坛(金融学系列Seminar)

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报告题目:A Unified Test for Predictability of Asset Returns Regardless of Properties of Predicting Variables

报 告 人:杨炳铎(江西财经大学,讲师)

      间:2017年12月29日(周五)下午16:10-17:40

      点:岭南堂汪道涵会议室

      言:中文+英文

 

 

Abstract. Some unified tests have been proposed recently in the literature for testing predictability of asset returns based on a simple linear predictive regression model. However, there exists a common drawback that predicted variable can not be stationary if the predicting variable is nonstationary. To solve this issue, this paper proposes including the difference of the predicting variable into the simple linear predictive regression. Furthermore, a unified empirical likelihood inference is developed to test the predictability no matter that the predicting variable is stationary or nearly integrated or unit root. A simulation study is conducted to confirm the efficiency of the proposed methods before the methods are applied to analyze a real example in economics.

 

 

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