Anibal Emiliano Da Silva Neto
Biographic Data
| ID | 9595532 |
|---|---|
| NAME | Anibal Emiliano Da Silva Neto |
| GIVEN NAMES | Anibal Emiliano |
| FAMILY NAME | Da Silva Neto |
| SIGNATURE | DA SILVA A E |
| AFFILIATIONS | Department of Economics University of Southampton Southampton UK |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2021 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions
We introduce a set of test statistics for assessing the presence of regimes in out of sample forecast errors produced by recursively estimated linear predictive regressions that can accommodate multiple highly persistent predictors. Our test statistics are designed to be robust to the chosen starting window size and are shown to be both consistent and locally powerful. Their limiting null distributions are also free of nuisance parameters and hen…
No prominent works on this page.
Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions
We introduce a set of test statistics for assessing the presence of regimes in out of sample forecast errors produced by recursively estimated linear predictive regressions that can accommodate multiple highly persistent predictors. Our test statistics are designed to be robust to the chosen starting window size and are shown to be both consistent and locally powerful. Their limiting null distributions are also free of nuisance parameters and hen…
Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Financial Markets and Investment Strategies (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Null hypothesis (1 work) · Predictability (1 work) · Statistics (1 work)