Testing the Predictability of Stock Returns

By Markku Lanne. Review of Economics and Statistics, 2002

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Nonparametric Predictive Regression (2015, unknown): “To address the second difficulty, several inferential methods that are robust to local deviations from unity have been proposed, includingWright (2000), Lanne (2002), Torous et al. (2004), Campbell and Yogo (2006), Jansson and Moreira (2006), and Magdalinos and Phillips (2009).”
Long-horizon regressions: theoretical results and applications (2003, background): “Examples of the first type are Fama andFrench (1988) , Campbell andShiller (1988) , Lanne (2002) , and Torous et al. (2002).”
Does the choice of estimator matter when forecasting returns (2012, background): “This means that OLS is not only inefficient but also biased, making it a poor candidate not only for inference but also for forecasting (see for example Lanne, 2002). We are therefore tempted to disregard the OLS estimator already at the outset. For completeness, however, in Sections 3.3 and 3.4 the”
Robust econometric inference for stock return predictability (2011, unknown): “The result follows immediately by vectorising (32) and applying (33) and (34).”
Testing for Predictability in Conditionally Heteroskedastic Stock Returns (2015, background): “Coincidentally, these are also the predictors that have received most attention 9This finding regarding financial ratio predictors seems largely in agreement with studies such as Pontiff and Schall (1998), Lewellen (2004), Campbell and Yogo (2006), and Stambaugh (1999), in which the predictors are f”