11/02/2010, 14:00 — 15:00 — Room P2, Mathematics Building, IST Paulo Rodrigues, Banco de Portugal and Universidade Nova de Lisboa
Robust Inference in Predictive Regressions
In this paper we discuss new tests for predictability which are inspired in the work of Vogelsang (1998) on testing for trend. The proposed tests, use by design the same critical values irrespectively of whether the predictor is or and are therefore capable of detecting a more general set of alternatives, which are presently by available procedures (exceptions being the tests of Deo and Chen, 2008 and Maynard and Shimotsu, 2009). Numerical evidence suggests that our proposed procedures have good finite sample performance which coupled with the simplicity of application makes them appealing approaches for empirical research and useful alternatives to available procedures.