A new test of asset return predictability with an unstable predictor
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DOI: 10.1016/j.econlet.2020.109529
Abstract: Abstract This study constructs predictive regressions in which the predictable variable exhibits a level shift at some unknown date. We establish novel procedures to test asset return predictability via empirical likelihood (EL) methods based on… read more here.
Keywords: return predictability; asset return; test asset;