Applied macroeconomists often compute confidence intervals for impulse responses using
local projections, that is, direct linear regressions of future outcomes on current covariates …

This article reviews recent econometric developments in the literature on price discovery
and predictability. For both areas, we discuss traditional approaches to econometric …

Explanatory variables in a predictive regression typically exhibit low signal strength and
various degrees of persistence. Variable selection in such a context is of great importance …

Local to unity limit theory is used in applications to construct confidence intervals (CIs) for
autoregressive roots through inversion of a unit root test (Stock (1991)). Such CIs are …

Return predictability has been one of the central research questions in finance for many
decades. This paper proposes a predictive regression with multiple structural changes to …

This paper develops econometric methods for inference and prediction in quantile
regression (QR) allowing for persistent predictors. Conventional QR econometric techniques …

Financial theory and econometric methodology both struggle in formulating models that are
logically sound in reconciling short-run martingale behavior for financial assets with …

Standard tests based on predictive regressions estimated over the full available sample data
have tended to find little evidence of predictability in stock returns. Recent approaches …

This paper explores in several prototypical models a convenient inference procedure for
nonstationary variable regression that enables robust chi-square testing for a wide class of …

A unifying framework for inference is developed in predictive regressions where the
predictor has unknown integration properties and may be stationary or nonstationary. Two …