@techreport{700a2d7f28d6454893e8c3fe96db12ae,
title = "Robust block bootstrap panel predictability tests",
abstract = "Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions. Some of the allowable features include heterogeneous predictive slopes, persistent predictors, and complex error dynamics, including cross-unit endogeneity.",
author = "J. Westerlund and S. Smeekes",
year = "2013",
month = jan,
day = "1",
doi = "10.26481/umagsb.2013060",
language = "English",
series = "GSBE Research Memoranda",
publisher = "Maastricht University, Graduate School of Business and Economics",
number = "060",
address = "Netherlands",
type = "WorkingPaper",
institution = "Maastricht University, Graduate School of Business and Economics",
}