On the estimation and testing of predictive panel regressions

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• 作者：Hande Karabiyik^a ; Joakim Westerlund^a ; ^b ; ^{joakim.westerlund@nek.lu.se} ; Paresh Narayan^b
• 关键词：C22 ; C23
• 刊名：Journal of International Financial Markets, Institutions and Money
• 出版年：2016
• 出版时间：November 2016
• 年：2016
• 卷：45
• 期：Complete
• 页码：115-125
• 全文大小：433 K
• 卷排序：45

文摘

This paper examines panel predictive regression estimators. We show that the Hjalmarsson panel estimator is not mixed normal. The Hjalmarsson panel estimator leads to misleading inference when predictors are endogenous. We study the consequences of using the Hjalmarsson estimator.