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Robust block bootstrap panel predictability tests

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  • Westerlund, J.

    (Externe publicaties SBE)

  • Smeekes, S.

    (Quantitative Economics)

Abstract

Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions. Some of the allowable features include heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity.

Suggested Citation

  • Westerlund, J. & Smeekes, S., 2013. "Robust block bootstrap panel predictability tests," Research Memorandum 060, Maastricht University, Graduate School of Business and Economics (GSBE).
    • Handle: RePEc:unm:umagsb:2013060
    DOI: 10.26481/umagsb.2013060
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    Cited by:

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    3. Gioldasis, Georgios & Musolesi, Antonio & Simioni, Michel, 2023. "Interactive R&D spillovers: An estimation strategy based on forecasting-driven model selection," International Journal of Forecasting, Elsevier, vol. 39(1), pages 144-169.
    4. Westerlund, Joakim & Thuraisamy, Kannan, 2016. "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, vol. 28(C), pages 44-60.
    5. Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2021. "Interactive R&D Spillovers: An estimation strategy based on forecasting-driven model selection," SEEDS Working Papers 0621, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jun 2021.

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    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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