Econ Papers Daily / 期刊论文
Nickell与Stambaugh之遇：面板预测回归中的两种偏差
Nickell meets Stambaugh: A tale of two biases in panel predictive regressions
摘要
In panel predictive regressions with persistent covariates, coexistence of the Nickell bias and the Stambaugh bias imposes challenges for estimation and hypothesis testing. This paper introduces an innovative estimator, the Double IVX (DIVX), inspired by the IVX technique in time series. DIVX effectively removes this composite Nickell-Stambaugh bias and reinstates standard inferential procedures based on the t -statistic. This new procedure achieves unified inference across a wide range of modes of persistence in panel predictive regressions when the cross-sectional dimension and the time dimension are comparably large. Such desirable properties were unattainable by existing methods, including the popular within-group estimator. Extensive Monte Carlo simulations demonstrate the robustness of DIVX under a variety of settings. We apply DIVX to panel data for financial markets in developed economies to examine the predictability of stock returns.
中文摘要
在包含持续性协变量的面板预测回归中，Nickell偏差与Stambaugh偏差的共存给估计和假设检验带来了挑战。本文引入一种创新估计量——双重IVX（DIVX），其灵感来源于时间序列中的IVX技术。DIVX有效消除了这种复合的Nickell-Stambaugh偏差，并恢复了基于t统计量的标准推断程序。当横截面维度和时间维度相当大时，这一新程序在面板预测回归中实现了跨多种持续性模式的统一推断。这些理想性质是现有方法（包括流行的组内估计量）无法实现的。大量蒙特卡洛模拟证明了DIVX在各种设定下的稳健性。我们将DIVX应用于发达经济体金融市场的面板数据，以检验股票收益的可预测性。