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英文文献：Consistent Inference for Predictive Regressions in Persistent VAR Economies-持续VAR经济体中预测回归的一致推论
英文文献作者：Torben G. Andersen,Rasmus T. Varneskov
英文文献摘要：
This paper studies the properties of standard predictive regressions in model economies, characterized through persistent vector autoregressive dynamics for the state variables and the associated series of interest. In particular, we consider a setting where all, or a subset, of the variables may be fractionally integrated, and note that this induces a spurious regression problem. We then propose a new inference and testing procedure - the local spectrum (LCM) approach - for the joint significance of the regressors, which is robust against the variables having different integration orders. The LCM procedure is based on (semi-)parametric fractional-filtering and band spectrum regression using a suitably selected set of frequency ordinates. We establish the asymptotic properties and explain how they differ from and extend existing procedures. Using these new inference and testing techniques, we explore the implications of assuming VAR dynamics in predictive regressions for the realized return variation. Standard least squares predictive regressions indicate that popular financial and macroeconomic variables carry valuable information about return volatility. In contrast, we find no significant evidence using our robust LCM procedure, indicating that prior conclusions may be premature. In fact, if anything, our results suggest the reverse causality, i.e., rising volatility predates adverse innovations to key macroeconomic variables. Simulations are employed to illustrate the relevance of the theoretical arguments for finite-sample inference.
本文研究了模型经济中标准预测回归的性质，以状态变量和相关利益序列的持续向量自回归动力学为特征。特别地，我们考虑了这样一种情况，其中所有变量或变量子集可能都是少量积分的，并且注意到这导致了一个伪回归问题。然后，我们提出了一种新的推理和测试程序-局部谱(LCM)方法-回归元的联合显著性，它对具有不同积分阶的变量具有鲁棒性。LCM程序是基于(半)参数分数滤波和带谱回归使用一组适当选择的频率纵坐标。我们建立渐近性质，并解释它们如何区别和扩展现有的程序。利用这些新的推断和测试技术，我们探索了在实现回报变化的预测回归中假设VAR动态的含义。标准最小二乘预测回归表明，流行的金融和宏观经济变量携带有价值的信息回报波动。相反，我们使用我们的稳健LCM程序并没有发现显著的证据，这表明先前的结论可能是不成熟的。事实上，我们的结果表明了相反的因果关系，即不断上升的波动性先于对关键宏观经济变量的不利创新。利用仿真来说明有限样本推理的理论论据的相关性。
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