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Prévoir sans persistance

  • Christophe Boucher

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, A.A.Advisors-QCG - ABN AMRO)

  • Bertrand Maillet

    ()

    (A.A.Advisors-QCG - ABN AMRO, LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans, EIF - Europlace Institute of Finance)

La littérature sur la prévision économique et financière a identifié trois problèmes importants : l'instabilité des régressions prédictives, la discordance des résultats des tests de prévisions en échantillon et hors échantillon, et la difficile inférence statistique lorsque les prédicteurs sont hautement persistants. Dans cet article, nous abordons ces trois questions simultanément, en proposant de traiter en amont la persistance des variables prédictives. Nous retirons ainsi préalablement les composantes basses fréquences des prédicteurs et nous montrons, en simulations et sur des données financières, que ce pré-traitement permet d'améliorer leur pouvoir prédictif.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00662771.

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Date of creation: Jan 2012
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Handle: RePEc:hal:cesptp:halshs-00662771
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  1. Martin Lettau & Stijn Van Nieuwerburgh, 2008. "Reconciling the Return Predictability Evidence," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
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  6. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
  7. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  8. Michael Jansson & Marcelo J. Moreira, 2006. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, vol. 74(3), pages 681-714, 05.
  9. Cavanagh, Christopher L. & Elliott, Graham & Stock, James H., 1995. "Inference in Models with Nearly Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1131-1147, October.
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