Article ID Journal Published Year Pages File Type
5101063 Journal of International Financial Markets, Institutions and Money 2016 25 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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