资产收益可预测性的经验似然检验
Empirical Likelihood Test for Asset Return Predictability
Abstract
本文构建了一个用于检验在预测回归模型下资产回报是否可被预测的方法。资产回报的预测性一直以来无论在实际中还是理论中都是一个备受关注的问题,人们常常通过某些滞后的经济变量等去预测资产的盈利能力。然而现实中可观测到的经济数据性质往往不够稳定,通常在判断数据性质时需要做许多假设,比如时间序列是平稳过程或者是单位根过程。即便可以通过一些方法去事先判断数据的性质,但是这样不仅会使得资产回报预测性的检验变得更复杂,而且还容易出错。本文试图基于对估计方程加权的经验似然方法提出一种更为方便的检验资产收益预测性的手段,我们的方法对于预测变量无论是平稳的还是非平稳的都有很强的检验效果,所以对复杂数据可以直接进行检验... This paper constructs a method for testing whether an asset return can be predicted ina predictive regression model. The predictability of asset return has always been a hot topicno matter in theory or practice, and people often predict the profitability of assets through certain lagging economic variables. However, the observable economic data in reality is often not stable enough and we should m...