5 papers
Serial-Dependence and Persistence Robust Inference in Predictive Regressions
Jean-Yves Pitarakis
This paper introduces a new method for testing the statistical significance of estimated parameters in predictive regressions. The approach features a new family of test statistics…
Detecting Sparse Cointegration
Jesus Gonzalo, Jean-Yves Pitarakis
We propose a two-step procedure to detect cointegration in high-dimensional settings, focusing on sparse relationships. First, we use the adaptive LASSO to identify the small subse…
Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test
Jean-Yves Pitarakis
We introduce a novel approach for comparing out-of-sample multi-step forecasts obtained from a pair of nested models that is based on the forecast encompassing principle. Our propo…
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
Jesus Gonzalo, Jean-Yves Pitarakis
This paper is concerned with detecting the presence of out of sample predictability in linear predictive regressions with a potentially large set of candidate predictors. We propos…
A Novel Approach to Predictive Accuracy Testing in Nested Environments
Jean-Yves Pitarakis
We introduce a new approach for comparing the predictive accuracy of two nested models that bypasses the difficulties caused by the degeneracy of the asymptotic variance of forecas…