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.
|Place of Publication||Maastricht|
|Publisher||Maastricht University, Graduate School of Business and Economics|
|Publication status||Published - 1 Jan 2013|
|Series||GSBE Research Memoranda|