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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

On the Estimation and Testing of Predictive Panel Regressions

Author

  • Hande Karabiyik
  • Joakim Westerlund
  • Paresh Kumar Narayan

Summary, in English

Hjalmarsson (2010) considers an OLS-based estimator of predictive panel regressions that is argued to be mixed normal under very general conditions. In a recent paper, Westerlund et al. (2016) show that while consistent, the estimator is generally not mixed normal, which invalidates standard normal and chi-squared inference. The purpose of the present paper is to study the consequences of this theoretical result in small samples, which is done using both simulated and real data.

Department/s

  • Department of Economics

Publishing year

2016

Language

English

Pages

115-125

Publication/Series

Journal of International Financial Markets, Institutions, and Money

Volume

45

Document type

Journal article

Publisher

North-Holland

Topic

  • Economics

Keywords

  • Common factors
  • Mixed normality
  • Panel data
  • Predictive regression

Status

Published

ISBN/ISSN/Other

  • ISSN: 1042-4431