Regime-Specific Predictability in Predictive Regressions
针对预测回归中可预测性强度和方向可能随经济状态变化的问题，开发了新的检验方法，并应用于股息率对股票收益的预测，发现可预测性仅在经济低迷时期显著且呈逆周期特征。
Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of asymptotic approximations.\nIn this article, we develop tests for uncovering the presence of predictability in such models when the strength or direction of predictability may alternate across different economically meaningful episodes. An empirical application reconsiders the dividend yield-based return predictability and documents a strong predictability that is countercyclical, occurring solely during bad economic times. This article has online\nsupplementary materials.