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Journal of Business & Economic Statistics Volume 32, 2014 - Issue 3
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Original Articles

A Nonparametric Test of the Predictive Regression Model

Ted JuhlUniversity of Kansas, 415 Snow Hall, Lawrence, KS66045 ([email protected])
Pages 387-394 | Received 01 May 2013, Published online: 28 Jul 2014

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Read on this site (1)

Matei Demetrescu & Benjamin Hillmann. (2022) Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions. Journal of Business & Economic Statistics 40:1, pages 382-397.
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Articles from other publishers (4)

Jose Olmo. (2022) A nonparametric predictive regression model using partitioning estimators based on Taylor expansions. Journal of Time Series Analysis 44:3, pages 294-318.
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Xiaohui Liu, Bingduo Yang, Zongwu Cai & Liang Peng. (2019) A unified test for predictability of asset returns regardless of properties of predicting variables. Journal of Econometrics 208:1, pages 141-159.
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Xiao-sai Liao, Zong-wu Cai & Hai-qiang Chen. (2018) A perspective on recent methods on testing predictability of asset returns. Applied Mathematics-A Journal of Chinese Universities 33:2, pages 127-144.
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Alex Maynard & Dongmeng Ren. 2014. Essays in Honor of Peter C. B. Phillips. Essays in Honor of Peter C. B. Phillips 673 711 .

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