Robust block bootstrap panel predictability tests*
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DOI: 10.1080/07474938.2018.1536102
Abstract: Abstract This article develops two block bootstrap-based panel predictability test procedures that are valid under very general conditions. Some of the allowable features include cross-sectional dependence, heterogeneous predictive slopes, persistent predictors, and complex error dynamics,… read more here.
Keywords: panel predictability; bootstrap; predictability; block bootstrap ... See more keywords