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Does the choice of estimator matter when forecasting returns?

Author

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  • Westerlund, Joakim
  • Narayan, Paresh

Abstract

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Suggested Citation

  • Westerlund, Joakim & Narayan, Paresh, 2012. "Does the choice of estimator matter when forecasting returns?," Financial Econometics Series fe_2012_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  • Handle: RePEc:dkn:ecomet:fe_2012_01
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    Citations

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    Cited by:

    1. Laopodis, Nikiforos T., 2016. "Industry returns, market returns and economic fundamentals: Evidence for the United States," Economic Modelling, Elsevier, vol. 53(C), pages 89-106.
    2. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Thuraisamy, Kannan & Westerlund, Joakim, 2016. "Price discovery and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 224-235.
    3. repec:eee:riibaf:v:42:y:2017:i:c:p:39-60 is not listed on IDEAS
    4. Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
    5. Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017. "A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects," Working Papers 024, Centre for Econometric and Allied Research, University of Ibadan.
    6. repec:eee:eneeco:v:66:y:2017:i:c:p:547-558 is not listed on IDEAS
    7. Moses Tule & Afees A. Salisu & Charles Chimeke, 2018. "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers 040, Centre for Econometric and Allied Research, University of Ibadan.
    8. repec:eee:intfin:v:52:y:2018:i:c:p:152-172 is not listed on IDEAS
    9. repec:eee:intfin:v:48:y:2017:i:c:p:160-177 is not listed on IDEAS
    10. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Westerlund, Joakim, 2016. "Are Islamic stock returns predictable? A global perspective," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 210-223.
    11. Afees A. Salisu & Idris Ademuyiwa & Kazeem Isah, 2017. "Revisiting the forecasting accuracy of Phillips curve: the role of oil price," Working Papers 022, Centre for Econometric and Allied Research, University of Ibadan.
    12. Afees A. Salisu & Raymond Swaray & Idris Adediran, 2018. "Improving the predictability of commodity prices in US inflation: The role of coffee price," Working Papers 041, Centre for Econometric and Allied Research, University of Ibadan.
    13. Afees A. Salisu & Kazeem Isah, 2017. "Predicting US Inflation: Evidence from a New Approach," Working Papers 039, Centre for Econometric and Allied Research, University of Ibadan.
    14. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.
    15. Karabiyik, Hande & Westerlund, Joakim & Narayan, Paresh, 2016. "On the estimation and testing of predictive panel regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 115-125.

    More about this item

    Keywords

    Predictive regression; Stock return predictability; Heteroskedasticity; Predictor endogeneity;

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