Articoli correlati a Linear predictive regression framework: Predictive...

Linear predictive regression framework: Predictive power of dividend yields and structural break detection - Brossura

Prochownik, Lukasz

 
9783656063254: Linear predictive regression framework: Predictive power of dividend yields and structural break detection
Brossura
ISBN 10: 3656063257 ISBN 13: 9783656063254
Casa editrice: GRIN Verlag, 2011

Sinossi

Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and implications of an adoption of the linear predictive regressions in forecasting the volatile stock return using the lagged variable, dividend-price ratio, which is highly persistent. Subsequently, I aim to answer questions whether the excess stock returns are predictable using dividend yields and whether the predictability is stable over time. The analysis I conduct, based on financial data, aim to detect the hypothetical presence of structural breaks in the model. In order to search for the structural instability of coefficients I construct a Wald test for each possible structural break location and investigate the accuracy of the SupWald statistic and its tabulated critical values in the framework described. Having obtained the test statistic for each of the possible break-points, I describe predictive power of explanatory variable and provide economic rationale to support some of the statistical outcomes.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

Master's Thesis from the year 2011 in the subject Economics - Macro-economics, general, grade: 81 %, University of Southampton, course: Econometrics, language: English, abstract: The concept of predictive regressions has been studied for over the past 20 years and its application is particularly present in applied economics, finance and econometrics. The basic set-up in the predictive regression framework associates the noisy explained variable with the lagged persistent regressor, which can be characterized as a process close to the unit root process. In my work I describe the relevance and implications of an adoption of the linear predictive regressions in forecasting the volatile stock return using the lagged variable, dividend-price ratio, which is highly persistent. Subsequently, I aim to answer questions whether the excess stock returns are predictable using dividend yields and whether the predictability is stable over time. The analysis I conduct, based on financial data, aim to detect the hypothetical presence of structural breaks in the model. In order to search for the structural instability of coefficients I construct a Wald test for each possible structural break location and investigate the accuracy of the SupWald statistic and its tabulated critical values in the framework described. Having obtained the test statistic for each of the possible break-points, I describe predictive power of explanatory variable and provide economic rationale to support some of the statistical outcomes.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
GRIN Verlag
Data di pubblicazione
2011
Lingua
Inglese
ISBN 10 
3656063257
ISBN 13 
9783656063254
Rilegatura
Copertina flessibile
Numero edizione
3
Numero di pagine
36
Contatto del produttore
GRIN Publishing GmbH
info@grin.com

Waltherstraße 23
München
80337
Germania