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A Trading Approach to Testing for Predictability

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  • Anatolyev, Stanislav
  • Gerko, Alexander

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  • Anatolyev, Stanislav & Gerko, Alexander, 2005. "A Trading Approach to Testing for Predictability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 455-461, October.
  • Handle: RePEc:bes:jnlbes:v:23:y:2005:p:455-461
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    1. Cheung, Yin-Wong & Lai, Kon S., 2000. "On the purchasing power parity puzzle," Journal of International Economics, Elsevier, vol. 52(2), pages 321-330, December.
    2. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "A panel project on purchasing power parity: Mean reversion within and between countries," Journal of International Economics, Elsevier, pages 209-224.
    3. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
    4. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. "PPP Strikes Back: Aggregation And the Real Exchange Rate," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 1-43.
    5. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    6. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    7. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
    8. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    9. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-783, August.
    10. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
    11. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
    12. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
    13. Elliott, Graham & Stock, James H., 2001. "Confidence intervals for autoregressive coefficients near one," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 155-181, July.
    14. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
    15. Graham Elliott & Elena Pesavento, 2005. "Higher Power Tests for Bilateral Failure of PPP after 1973," Emory Economics 0502, Department of Economics, Emory University (Atlanta).
    16. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
    17. Lopez, Claude & Murray, Christian J & Papell, David H, 2005. "State of the Art Unit Root Tests and Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 361-369, April.
    18. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    19. Nikolay Gospodinov, 2001. "Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes: An Application to Purchasing Power Parity," Computing in Economics and Finance 2001 136, Society for Computational Economics.
    20. Stock, James H, 1996. "VAR, Error Correction and Pretest Forecasts at Long Horizons," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 685-701, November.
    21. Murray, Christian J. & Papell, David H., 2002. "The purchasing power parity persistence paradigm," Journal of International Economics, Elsevier, vol. 56(1), pages 1-19, January.
    22. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-165, January.
    23. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
    24. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
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    Cited by:

    1. Blaskowitz, Oliver & Herwartz, Helmut, 2011. "On economic evaluation of directional forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1058-1065, October.
    2. Roman Kozhan & Mark Salmon, 2007. "Uncertainty Aversion in an Agent-Based Model of Foreign Exchange Rate Formation," Working Papers wpn07-06, Warwick Business School, Finance Group.
    3. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
    4. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
    5. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015. "Exchange rate forecasts and expected fundamentals," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
    6. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
    7. Mark Salmon & Roman Kozhan, 2008. "On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates," Working Papers wp08-06, Warwick Business School, Finance Group.
    8. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
    9. Samuel W. Malone & Robert B. Gramacy & Enrique ter Horst, 2016. "Timing Foreign Exchange Markets," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-23, March.
    10. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
    11. Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
    12. Anatolyev, Stanislav, 2005. "A Ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland, Institute for Economies in Transition.
    13. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Luis H. R. Alvarez E. & Paavo Salminen, 2016. "Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion," Papers 1608.04537, arXiv.org.
    15. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
    16. repec:gam:jecnmx:v:4:y:2016:i:1:p:15:d:65565 is not listed on IDEAS
    17. Pablo Pincheira, 2013. "A Simple Out-of-Sample Test for the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 698, Central Bank of Chile.
    18. Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
    19. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
    20. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
    21. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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