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Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions
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The 14 references without a DOI — listed, not checked
no DOI — not checkedThe DS equals the difference between the log-percentage yields on Moody's BAA and AAA bonds; TB is log-transformed; and PE is the log-ratio of the S&P 500 index to the ten-year trailing moving average of the aggregate S&P 500 constituent earnings. The DS and TB data are from the Federal Reserve Bank of St
no DOI — not checked5 = d i (TELW) = 1.0356, since the latter is insignificantly different from one, and we adopt the tuning parameter configurations ? = ? G = 0.20, ? = ? G = 0.70. Importantly, as discussed in Section 4.3, these LCM selections deliver valid significance tests for the null hypothesis of return predictability as long as d 1 ? ? x is satisfied. The results are reported in the top panel of Table 2. There are several interesting observations. First, neither OLS nor IVX indicate any significant predictability, and their coefficient estimates, standard errors and Wald tests are similar. Second, using the LCM procedure, we find that the predictors are, indeed, jointly significant at a 1% level, yet DS emerges as the only individually significant predictor among the regressors, judging by the standard errors. Hence, the use of LCM seems to sharpen the test results
no DOI — not checkedis more robust to the mean, or initial value, of the process. Both estimators are valid for stationary and nonstationary fractionally integrated processes
no DOI — not checkedTesting for parameter instability and structural change in persistent predictive regressions
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no DOI — not checkedref59
no DOI — not checkedLocal whittle estimation in nonstationary and unit root cases
no DOI — not checkedNarrow-band analysis of nonstationary processes
no DOI — not checkedref69
no DOI — not checkedExact local whittle estimation of fractional integration
no DOI — not checkedref73
no DOI — not checkedref79
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