Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors
(2024)
Journal Article
Astill, S., Harvey, D. I., Leybourne, S. J., & Robert Taylor, A. M. (in press). Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors. Journal of Applied Econometrics,
The Bonferroni Q test of Campbell and Yogo (2006) is widely used in empirical studies investigating predictability in asset returns by strongly persistent and endogenous predictors. Its formulation, however, only allows for a constant mean in the pre... Read More about Bonferroni-Type Tests for Return Predictability with Possibly Trending Predictors.