Reverse regressions and long-horizon forecasting

Journal of Applied Econometrics

Volumn 28, Issue 3, 2013, Pages 353-371

  Wei, Min ^a   Wright, Jonathan H ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84875676230     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.1274     Document Type: Article

References (29)

1. Ang A, Bekaert G. 2007. Stock return predictability: is it there? Review of Financial Studies 20: 651-707.
2. Bekaert G, Hodrick RJ. 2001. Expectations hypothesis tests. Journal of Finance 56: 1357-1394.
3. Bekaert G, Hodrick RJ, Marshall D. 1997. On biases in tests of the expectations hypothesis of the term structure of interest rates. Journal of Financial Economics 44: 309-348.
4. Bekaert G, Hodrick RJ, Marshall D. 2001. Peso problem explanations for term structure anomalies. Journal of Monetary Economics 48: 241-270.
5. Campbell JY. 2000. Asset pricing at the millennium. Journal of Finance 55: 1515-1567.
6. Campbell JY. 2001. Why long horizons? A study of power against persistent alternatives. Journal of Empirical Finance 9: 459-491.
7. Campbell JY, Shiller RJ. 1991. Yield spreads and interest rate movements: a bird's eye view. The Review of Economic Studies 58: 495-514.
8. Campbell JY, Yogo M. 2006. Efficient tests of stock return predictability. Journal of Financial Economics 81: 27-60.
9. Cochrane JH, Piazzesi M. 2005. Bond risk premia. The American Economic Review 95: 138-160.
10. Elliott G, Stock JH. 1994. Inference in time series regression when the order of integration of a regressor is unknown. Econometric Theory 10: 672-700.
11. Elliott G, Rothenberg TJ, Stock JH. 1996. Efficient tests for an autoregressive unit root. Econometrica 64: 813-836.
12. Fama EF, Bliss RR. 1987. The information in long-maturity forward rates. The American Economic Review 77: 680-692.
13. Goetzmann W, Jorion P. 1993. Testing the predictive power of dividend yields. Journal of Finance 48: 663-679.
14. Gürkaynak RS, Sack B, Wright JH. 2007. The U.S. Treasury yield curve: 1961 to the present. Journal of Monetary Economics 54: 2291-2304.
15. Hansen LP, Hodrick RJ. 1980. Forward exchange rates as optimal predictors of future spot rates: an econometric analysis. Journal of Political Economy 88: 829-853.
16. Hodrick RJ. 1992. Dividend yields and expected stock returns: alternative procedures for inference and measurement. Review of Financial Studies 5: 357-386.
17. Kiefer NM, Vogelsang TJ. 2005. A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Econometric Theory 21: 1130-1164.
18. Newey WK, West KD. 1987. A simple, positive definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55: 703-708.
19. Phillips PCB. 1987. Towards a unified asymptotic theory for autoregression. Biometrika 74: 535-547.
20. Phillips PCB, Sun Y, Jin S. 2006. Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation. International Economic Review 47: 837-894.
21. Richardson M, Stock JH. 1989. Drawing inferences from statistics based on multiyear returns. Journal of Financial Economics 25: 323-348.
22. Rossi B. 2005. Testing long-horizon predictive ability with high persistence, and the Meese-Rogoff puzzle. International Economic Review 46: 61-92.
23. Rossi B. 2007. Expectations hypotheses tests at long horizons. The Econometrics Journal 10: 1-26.
24. Sack B. 2006. Comment on 'Can central banks target bond prices?' In Monetary Policy in an Environment of Low Inflation: Proceedings of the Bank of Korea International Conference 2006, Bank of Korea, Seoul, Korea.
25. Stambaugh R. 1999. Predictive regressions. Journal of Financial Economics 54: 375-421.
26. Stock JH. 1991. Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series. Journal of Monetary Economics 28: 435-459.
27. Stock JH. 1996. VAR, error correction and pretest forecasts at long horizons. Oxford Bulletin of Economics and Statistics 58: 685-701.
28. Torous W, Valkanov R, Yan S. 2004. On Predicting stock returns with nearly integrated explanatory variables. Journal of Business 77: 937-966.
29. Valkanov R. 2003. Long-horizon regressions: theoretical results and applications. Journal of Financial Economics 68: 201-232.